Active portfolio management : a quantitative approach for providing superior returns and controlling risk (Book, 2007) [WorldCat.org]
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Active portfolio management : a quantitative approach for providing superior returns and controlling risk
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Active portfolio management : a quantitative approach for providing superior returns and controlling risk

Author: Richard C Grinold; Ronald N Kahn
Publisher: New York, NY : McGraw-Hill, [2007]
Series: Irwin library of investment & finance.
Edition/Format:   Print book : English : 2. ed., reprintView all editions and formats
Summary:

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.

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Document Type: Book
All Authors / Contributors: Richard C Grinold; Ronald N Kahn
ISBN: 0070248826 9780070248823
OCLC Number: 254498201
Description: XV, 596 Seiten : Diagramme ; 24 cm.
Contents: 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.
Series Title: Irwin library of investment & finance.
Responsibility: Richard C. Grinold ; Ronald N. Kahn.

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