Richard Grinold, Ronald Kahn

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

• Gebundenes Buch

Produktbeschreibung

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.

Produktdetails

• McGraw-Hill Library of Investment and Finance
• Verlag: McGraw-Hill Professional
• 2. Aufl.
• Seitenzahl: 624
• Erscheinungstermin: November 1999
• Englisch
• Abmessung: 237mm x 161mm x 46mm
• Gewicht: 975g
• ISBN-13: 9780070248823
• ISBN-10: 0070248826
• Artikelnr.: 08512016

Autorenporträt

McGraw-Hill authors represent the leading experts in their fields and are dedicated to improving the lives, careers, and interests of readers worldwide

Inhaltsangabe

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.