Active portfolio management: a quantitative approach for providing superior returns and controlling risk
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York [u.a.]
McGraw-Hill
2000
|
| Edition: | 2. ed. |
| Series: | [Irwin library of investment & finance]
|
| Subjects: | |
| Online Access: | Publisher description Table of contents Inhaltsverzeichnis Klappentext |
| Physical Description: | XV, 596 S. |
| ISBN: | 0070248826 |
Staff View
MARC
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| 245 | 1 | 0 | |a Active portfolio management |b a quantitative approach for providing superior returns and controlling risk |c Richard C. Grinold ; Ronald N. Kahn |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a New York [u.a.] |b McGraw-Hill |c 2000 | |
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Record in the Search Index
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| adam_text | CON
TENTS
Preface
xi
Acknowledgments
xv
Chapter
1
Introduction
1
PART ONE
FOUNDATIONS
Chapter
2
Consensus Expected Returns: The Capital
Asset Pricing Model
11
Chapter
3
Risk
41
Chapter
4
Exceptional Return, Benchmarks, and Value Added
87
Chapter
5
Residual Risk and Return: The Information Ratio
109
Chapter
6
The Fundamental Law of Active Management
147
PART TWO
EXPECTED RETURNS AND VALUATION
Chapter
7
Expected Returns and the Arbitrage Pricing Theory
173
Chapter
8
Valuation in Theory
199
Chapter
9
Valuation in Practice
225
PART THREE
INFORMATION PROCESSING
Chapter
10
Forecasting Basics
261
Chapter
11
Advanced Forecasting
295
Chapter
12
Information Analysis
315
Chapter
13
The Information Horizon
347
PART FOUR
IMPLEMENTATION
Chapter
14
Portfolio Construction
377
Chapter
15
Long/Short Investing
419
Chapter
16
Transactions Costs, Turnover, and Trading
445
Chapter
17
Performance Analysis
477
Chapter
18
Asset Allocation
517
Chapter
19
Benchmark Timing
541
Chapter
20
The Historical Record for Active Management
559
Chapter
21
Open Questions
573
Chapter
22
Summary
577
Appendix A
Standard Notation
581
Appendix
В
Glossary
583
Appendix
С
Return and Statistics Basics
587
INDEX
591
Mathematically rigorous and meticulously orga¬
nized, Active Portfolio Management broke new
ground when it first appeared in
1994.
By outlining
an innovative process to uncover raw signals of
asset returns, develop them into refined forecasts,
then use those forecasts to construct portfolios
combining exceptional return and minimal
risk
—
i.e., portfolios that consistently beat the
market
—
this hallmark book helped thousands
of investment managers.
Active Portfolio Management, Second Edition, now
sets the bar even higher. Like its predecessor, this
volume details how to apply economics, econo¬
metrics, and operations research to solving practical
investment problems
—
and finding superior profit
opportunities. It outlines an active management
framework that begins with a benchmark portfolio,
then defines exceptional returns as they relate to
that benchmark. Beyond the comprehensive treat¬
ment of the active management process covered
previously, this new edition expands to cover asset
allocation, long/short investing, information hori¬
zons, and other topics relevant today. It revisits a
number of discussions from the first edition, shed¬
ding new light on some of today s most pressing
issues, including risk, dispersion, market impact,
and performance analysis, while providing empiri¬
cal evidence where appropriate.
The result is an updated, comprehensive set of
strategic concepts and rules of thumb for guiding
the process of
—
and increasing the profits from
—
active investment management. Organized into
four sections
—
Foundations, Expected Returns
and Valuation, Information Processing, and
Implementation
—
that walk you step-by-step
through the entire process, Active Portfolio
Management introduces:
■
The appropriate framework for active man¬
agement, and how to use basic portfolio
theory to navigate within that framework
■
Techniques to transform market insights into
specific, profitable investment strategies
■
Long/short strategies
—
when to use them,
when to avoid them, and why
■
Proven rules for evaluating investment
strategies
■
Methods to estimate transaction costs
—
plus proven ways to reduce them
■
Historical and empirical information on the
accuracy of risk models
■
Technical appendixes with more detailed
explanations of each chapter s mathematics
■
Unique, real-world exercises to provide nuts-
and-bolts understanding of new concepts
Active Portfolio Management covers both the basic
principles and foundations, as well as the practical
details, of the process of active investment manage¬
ment. It provides a proven approach to active
investment that is designed to beat not only unman-
aged indexes but also competing, less rigorous
management approaches.
|
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| spelling | Grinold, Richard C. Verfasser aut Active portfolio management a quantitative approach for providing superior returns and controlling risk Richard C. Grinold ; Ronald N. Kahn 2. ed. New York [u.a.] McGraw-Hill 2000 XV, 596 S. txt rdacontent n rdamedia nc rdacarrier [Irwin library of investment & finance] Gestion de portefeuille - Modèles mathématiques Gestion de portefeuille rasuqam Gestion des risques rasuqam Modèle mathématique rasuqam Méthode quantitative rasuqam Placement financier rasuqam Portfolio-analyse gtt Risque financier rasuqam Wiskundige modellen gtt Mathematisches Modell Portfolio management Mathematical models Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 s DE-604 Portfolio Selection (DE-588)4046834-3 s Kahn, Ronald N. Verfasser aut http://www.loc.gov/catdir/description/mh023/99021967.html Publisher description http://www.loc.gov/catdir/toc/mh023/99021967.html Table of contents Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009952361&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009952361&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Grinold, Richard C. Kahn, Ronald N. Active portfolio management a quantitative approach for providing superior returns and controlling risk Gestion de portefeuille - Modèles mathématiques Gestion de portefeuille rasuqam Gestion des risques rasuqam Modèle mathématique rasuqam Méthode quantitative rasuqam Placement financier rasuqam Portfolio-analyse gtt Risque financier rasuqam Wiskundige modellen gtt Mathematisches Modell Portfolio management Mathematical models Portfoliomanagement (DE-588)4115601-8 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4046834-3 |
| title | Active portfolio management a quantitative approach for providing superior returns and controlling risk |
| title_auth | Active portfolio management a quantitative approach for providing superior returns and controlling risk |
| title_exact_search | Active portfolio management a quantitative approach for providing superior returns and controlling risk |
| title_full | Active portfolio management a quantitative approach for providing superior returns and controlling risk Richard C. Grinold ; Ronald N. Kahn |
| title_fullStr | Active portfolio management a quantitative approach for providing superior returns and controlling risk Richard C. Grinold ; Ronald N. Kahn |
| title_full_unstemmed | Active portfolio management a quantitative approach for providing superior returns and controlling risk Richard C. Grinold ; Ronald N. Kahn |
| title_short | Active portfolio management |
| title_sort | active portfolio management a quantitative approach for providing superior returns and controlling risk |
| title_sub | a quantitative approach for providing superior returns and controlling risk |
| topic | Gestion de portefeuille - Modèles mathématiques Gestion de portefeuille rasuqam Gestion des risques rasuqam Modèle mathématique rasuqam Méthode quantitative rasuqam Placement financier rasuqam Portfolio-analyse gtt Risque financier rasuqam Wiskundige modellen gtt Mathematisches Modell Portfolio management Mathematical models Portfoliomanagement (DE-588)4115601-8 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Gestion de portefeuille - Modèles mathématiques Gestion de portefeuille Gestion des risques Modèle mathématique Méthode quantitative Placement financier Portfolio-analyse Risque financier Wiskundige modellen Mathematisches Modell Portfolio management Mathematical models Portfoliomanagement Portfolio Selection |
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