Active Portfolio Management: a Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk

Name: Active Portfolio Management: a Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk
Availability: OutOfStock
ISBN: 9780070248823

ISBN-10: 0070248826

ISBN-13: 9780070248823

Edition: 2nd 2000 (Revised)

Authors: Richard C. Grinold, Ronald N. Kahn

List price: $99.00

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Description:

This volume reflects some of the most original and powerful thinking in the field of modern investment management. It provides a highly rigorous approach to understanding and profiting from active investment.

Book details

List price: $99.00
Edition: 2nd
Copyright year: 2000
Publisher: McGraw-Hill Education
Publication date: 11/16/1999
Binding: Hardcover
Pages: 624
Size: 6.40" wide x 9.30" long x 1.50" tall
Weight: 2.310
Language: English



Introduction



Foundations


Consensus Expected Returns: The Capital Asset Pricing Model


Risk


Exceptional Return, Benchmarks, and Value Added


Residual Risk and Return: The Information Ratio


The Fundamental Law of Active Management



Expected Returns and Valuation


Expected Returns and the Arbitrage Pricing Theory


Valuation in Theory


Valuation in Practice



Information Processing


Forecasting Basics


Advanced Forecasting


Information Analysis


The Information Horizon



Implementation


Portfolio Construction


Long/Short Investing


Transaction Costs, Turnover, and Trading


Performance Analysis


Asset Allocation


Benchmark Timing


The Historical Record for Active Management


Open Questions


Summary


Appendice



Standard Notation



Glossary