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Document Type: | Book |
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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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