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Active Portfolio Management 2/E : A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk - Richard Grinold

Active Portfolio Management 2/E

A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk

Hardcover Published: 26th October 1999
ISBN: 9780070248823
Number Of Pages: 624

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"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.

Consensus Expected Returns: The Capital Asset Pricing Model
Exceptional Return, Benchmarks, and Value Added
Residual Risk and Return: The Information Ratio
The Fundamental Law of Active Management
Expected Returns and Valuation
Expected Returns and the Arbitrage Pricing Theory
Valuation in Theory
Valuation in Practice
Information Processing
Forecasting Basics
Advanced Forecasting
Information Analysis
The Information Horizon
Portfolio Construction
Long/Short Investing
Transaction Costs, Turnover, and Trading
Performance Analysis
Asset Allocation
Benchmark Timing
The Historical Record for Active Management
Open Questions
Standard Notation
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780070248823
ISBN-10: 0070248826
Series: McGraw-Hill Library of Investment and Finance
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 624
Published: 26th October 1999
Publisher: McGraw-Hill Education - Europe
Country of Publication: US
Dimensions (cm): 23.0 x 16.0  x 4.0
Weight (kg): 0.99
Edition Number: 2
Edition Type: Revised