From simple origins in the 1950s, portfolio theory has spawned a vast literature on asset and portfolio modeling. This book is a not-too-technical look at that modeling from the perspective of equity portfolio management. The target audience is portfolio managers or other investors who believe that markets are sufficiently inefficient to justify active management. The authors offer a whirlwind tour of modeling techniques that might prove useful in that endeavor. In this respect, the book fills a niche very similar to Grinold and Kahn (1999). The two books differ in that Grinold and Kahn is more practical. Fabozzi et al is more theoretical.

The authors describe numerous models. The sheer breadth of their coverage may be what makes the book most valuable. Models fall generally into two categories:

There are asset valuation models like CAPM and APT that can be used to construct optimal portfolios.

There are also time series or econometric models that can be used for constructing covariance matrices or other inputs for the first type of models.

Some models are covered in detail. Many are touched on only briefly, perhaps with a formula or two and a citation to the literature. In this regard, the book is like a survey of the literature. Or maybe I should describe it as a survey of available models. The authors are not particularly good at citing sources. They will cite a source, but that may not be the most relevant one. For example, they comment that mixed-distribution models were proposed in a 1999 paper. Those models have been around for decades, but you wouldn't know it from what the authors say.

Discussions can be vague or sloppy. The treatment of the Arbitrage Pricing Model is marred by cryptic footnotes cautioning that the discussion is not only simplified but technically incorrect!

Elsewhere, the authors claim that the concept of diversification depends on the central limit theorem. That theorem is all about normal distributions, and I don't see that normal distributions have anything to do with not placing all your eggs in one basket.