Active portfolio management : a quantitative approach for providing superior returns and controlling risk /

Active portfolio management : a quantitative approach for providing superior returns and controlling risk / Richard C. Grinold, Ronald N. Kahn.

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Bibliographic Details
Online Access: Full Text (via EBSCO)
Main Author: Grinold, Richard C.
Other Authors: Kahn, Ronald N.
Format: eBook
Language:English
Published: New York : McGraw-Hill, ©2000.
Edition:2nd ed.
Series:Irwin library of investment & finance.
Subjects:
Portfolio management > Mathematical models.
Table of 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.

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