This uniquely comprehensive guide provides expert insights into everything from financial mathematics to the practical realities of asset allocation and pricing Investors like you typically have a choice to make when seeking guidance for portfolio selection―either a book of practical, hands-on approaches to your craft or an academic tome of theories and mathematical formulas. From three top experts, Portfolio Selection and Asset Pricing strikes the right balance with an extensive discussion of mathematical foundations of portfolio choice and asset pricing models, and the practice of asset allocation. This thorough guide is conveniently organized into four sections: Mathematical Foundations―normed vector spaces, optimization in discrete and continuous time, utility theory, and uncertainty - Portfolio Models―single-period and continuous-time portfolio choice, analogies, asset allocation for a sovereign as an example, and liability-driven allocation - Asset Pricing―capital asset pricing models, factor models, option pricing, and expected returns - Robust Asset Allocation―robust estimation of optimization inputs, such as the Black-Litterman Model and shrinkage, and robust optimizers Whether you are a sophisticated investor or advanced graduate student, this high-level title combines rigorous mathematical theory with an emphasis on practical implementation techniques. "A remarkable triumph. The authors strike just the right balance between mathematical formalism, academic rigor, and financial practices.  Anyone looking to understand the broad fields of asset allocation and asset pricing in a structured, disciplined, yet intuitive approach should read this book (and keep it handy as a reference)." —Armen Avanessians , Chief Investment Officer and Head of Quantitative Investment Strategies, Goldman Sachs Asset Management "A tour de force. From the quantitative building blocks to the many current investment applications, this book is required reading for anyone interested in portfolio management." — Campbell R. Harvey , Professor, Duke University and Former President, American Finance Association "It's rare to see topics like portfolio selection and asset pricing studied in such great depth and rigor, yet communicated so clearly and systematically by three seasoned industry experts who have successfully taken theory into practice." — Andrew Lo, Charles E. and Susan T. Harris Professor, MIT Sloan School and Director, MIT Laboratory for Financial Engineering " Portfolio Selection and Asset Pricing offers a delightful, rigorous and comprehensive development of the fundamental concepts and models of quantitative finance. The authors’ extensive collective experience in implementation is evident, with each model carefully selected for its widespread potential applicability and material impact on practice, and for a style of quantitative presentation more for the engineer than the mathematician. Whether attracted by the beauty of the applications or their power, the reader is in for a treat: Bon appétit!" — Robert C. Merton , Distinguished Professor of Finance at MIT Sloan School, University Professor Emeritus at Harvard University, Nobel Laureate in Economic Sciences "This is an intuitive, insightful and beautiful book. It represents an exciting step forward in explaining asset allocation to a wide audience. It will help many in the field to consolidate and apply their knowledge on how to construct portfolios. In a world of low returns, this book is a must read." — Emmanuel Roman , Chief Executive Officer, PIMCO Jamil Baz is a managing director at PIMCO. Prior to that, he was a senior managing director and chief investment strategist of the Man Group. Previously, he was a managing director in macro proprietary trading at Goldman Sachs in London and global chief investment strategist at Deutsche Bank. Earlier in his career, he was a managing director at Lehman Brothers and worked in derivatives and liability management at the World Bank. He holds an AM and a Ph.D. from Harvard University, an SM degree from the MIT Sloan School of Management, and a master's degree from the London School of Economics. He has taught mathematical finance at Oxford University for 20 years. Helen Guo is an executive vice president at PIMCO, co-heading client solutions and analytics for the Americas and Asia-Pacific regions. She specializes in research and modeling to provide customized solutions to clients on asset allocation and risk management. She is a member of the Research Committee of the Institute for Quantitative Research in Finance (Q Group). Guo holds a PhD in economics and a master's degree in statistics from Stanford University. Erol Hakanoglu is a senior advisor at PIMCO. He is managing partner of Hakanoglu Quantitative Strategies LLC, an analytic advisory firm he founded. Previously, he was at Goldman Sachs for 22 years, where he was a managing director and global head of capital markets strategies, and late