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

 
9780070248823: Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk

"This new edition of Active Portfolio Management continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals."

-William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management.

"Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn."

-Scott Stewart, Portfolio Manager, Fidelity Select Equity ® Discipline

Co-Manager, Fidelity Freedom ® Funds.

"This Second edition will not remain on the shelf, but will be continually referenced by both novice and expert. There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management."

-Eric N. Remole, Managing Director, Head of Global Structured Equity, Credit Suisse Asset Management.

Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers 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 of 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, econometrics, and operations research to solving practical investment problems, and uncovering 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 treatment of the active management process covered previously, this new edition expands to cover asset allocation, long/short investing, information horizons, and other topics relevant today. It revisits a number of discussions from the first edition, shedding new light on some of today's most pressing issues, including risk, dispersion, market impact, and performance analysis, while providing empirical 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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

About the Author:

Richard C. Grinold, Ph.D., is Managing Director, Advanced Strategies and Research at Barclays Global Investors. Dr. Grinold spent 14 years at BARRA, where he served as Director of Research, Executive Vice President, and President; and 20 years on the faculty at the School of Business Administration at the University of California, Berkeley, where he served as the chairman of the finance faculty, chairman of the management science faculty, and director of the Berkeley Program in Finance.

Ronald N. Kahn, Ph.D., is Managing Director in the Advanced Active Strategies Group at Barclays Global Investors. Dr. Kahn spent 11 years at BARRA, including over seven years as Director of Research. He is on the editorial advisory board of the Journal of Portfolio Management and the Journal of Investment Consulting.

Both authors have published extensively, and are widely known in the industry for their pioneering work on risk models, portfolio optimization, and trading analysis; equity, fixed income, and international investing; and quantitative approaches to active management.

Dalla quarta di copertina:

An Innovative Approach to Portfolio Management. Blending the Most Profitable Aspects of Analytical and Quantitative.

Professional acclaim for Active Portfolio Management, 2nd edition. "Active Portfolio Management is a unique reference for understanding the source of value-added by a money manager. I am an enthusiastic supporter of the methodology used in the book, and I highly recommend it to both the professional and academic communities."

-Professor William N. Goetzmann, Director, International Center for Finance, Yale University School of Management.

"This edition of Active Portfolio Management continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals."

-William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management.

"Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn."

-Scott Stewart, Portfolio Manager, Fidelity Select Equity ® Discipline, Co-Manager, Fidelity Freedom ® Funds.

"This second edition will not remain on the shelf, but will be continually referenced by

both novice and expert. There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management."

-Eric N. Remole, Managing Director, Head of Global Structured Equity, Credit Suisse Asset Management.

"Active Portfolio Management, Second Edition, remains a readable yet theoretically and mathematically rigorous book that one would expect from two such distinguished authors. I heartily recommend this book to any practitioner who wants to refine his or her knowledge of state-of-the-art quantitative money management or who would like a straightforward reference to quickly answer those thorny theoretical questions that hit us now and again."

-Michael Even, Managing Director and Chief of Global Quantitative Analysis, Citibank Global Asset Management.

"A more comprehensive examination of quantitative techniques for portfolio management would be hard to find. Active Portfolio Management is an outstanding treatise on the methods and techniques of measuring performance and risk control that is both rigorous and understandable."

-Jon A. Christopherson, Research Fellow, Frank Russell Company.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

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Grinold, Richard C.; Kahn, Ronald N.
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Descrizione libro McGraw-Hill, 1999. Condizione libro: New. Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: Introduction. Part I: 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. Part II: Expected Returns and Valuation. Expected Returns and the Arbitrage Pricing Theory. Valuation in Theory. Valuation in Practice. Part III: Information Processing. Forecasting Basics. Advanced Forecasting. Information Analysis. The Information Horizon. Part IV: 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 A: Standard Notation. B: Glossary. C: Return and Statistics Basics. Codice libro della libreria ABE_book_new_0070248826

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Descrizione libro McGraw-Hill Education - Europe, United States, 1999. Hardback. Condizione libro: New. 2nd Revised edition. 234 x 155 mm. Language: English . Brand New Book. This new edition of Active Portfolio Management continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals. -William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management. Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn. -Scott Stewart, Portfolio Manager, Fidelity Select Equity (R) Discipline Co-Manager, Fidelity Freedom (R) Funds. This Second edition will not remain on the shelf, but will be continually referenced by both novice and expert. There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management. -Eric N. Remole, Managing Director, Head of Global Structured Equity, Credit Suisse Asset Management. Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers 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 of 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, econometrics, and operations research to solving practical investment problems, and uncovering 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 treatment of the active management process covered previously, this new edition expands to cover asset allocation, long/short investing, information horizons, and other topics relevant today. It revisits a number of discussions from the first edition, shedding new light on some of today s most pressing issues, including risk, dispersion, market impact, and performance analysis, while providing empirical 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. Codice libro della libreria AA39780070248823

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Grinold, Richard C.; Kahn, Ronald N.
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Descrizione libro McGraw-Hill Education - Europe, United States, 1999. Hardback. Condizione libro: New. 2nd Revised edition. 234 x 155 mm. Language: English . Brand New Book. This new edition of Active Portfolio Management continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals. -William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management. Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn. -Scott Stewart, Portfolio Manager, Fidelity Select Equity (R) Discipline Co-Manager, Fidelity Freedom (R) Funds. This Second edition will not remain on the shelf, but will be continually referenced by both novice and expert. There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management. -Eric N. Remole, Managing Director, Head of Global Structured Equity, Credit Suisse Asset Management. Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers 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 of 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, econometrics, and operations research to solving practical investment problems, and uncovering 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 treatment of the active management process covered previously, this new edition expands to cover asset allocation, long/short investing, information horizons, and other topics relevant today. It revisits a number of discussions from the first edition, shedding new light on some of today s most pressing issues, including risk, dispersion, market impact, and performance analysis, while providing empirical 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. Codice libro della libreria AA39780070248823

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Descrizione libro McGraw-Hill Professional 1999-11-01, 1999. Condizione libro: New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Codice libro della libreria NU-BER-00008967

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Descrizione libro McGraw-Hill Education - Europe, 1999. Condizione libro: New. 1999. 2nd Edition. Hardcover. A proven index-beating approach that covers both the basic principles and foundations, as well as the practical details, of the process of active investment management. Series: McGraw-Hill Library of Investment & Finance. Num Pages: 624 pages, 60 illustrations. BIC Classification: KFFM; KJM. Category: (P) Professional & Vocational. Dimension: 164 x 236 x 40. Weight in Grams: 1006. . . . . . . Codice libro della libreria V9780070248823

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Descrizione libro McGraw-Hill Education - Europe 1999-10-26, 1999. hardback. Condizione libro: New. Codice libro della libreria 9780070248823

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Descrizione libro McGraw-Hill, 1999. Hardcover. Condizione libro: New. 2. Codice libro della libreria DADAX0070248826

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