ACTIVE PORTFOLIO MANAGEMENT GRINOLD R.,KAHN R. Księgarnia

Active Portfolio Management

A Quantitative Approach for Producing Superior Returns and Controling Risk

Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first appeared 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 combining 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 finding 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. Organized into four sections Foundations, Expected Returns and Valuation, Information Processing, and Implementation that walk you step-by-step through the entire process. Active Portfolio Management introduces:

The appropriate framework for active management, and how to use basic portfolio theory to navigate within that framework

Techniques to transform market insights into specific, profitable investment strategies

Long/short strategies when to use them, when to avoid them, and why

Proven rules for evaluating investment strategies

Methods to estimate transaction costs plus proven ways to reduce them

Historical and empirical information on the accuracy of risk models

Technical appendixes with more detailed explanations of each chapter's mathematics

Unique, real-world exercises to provide nuts-and-bolts understanding of new concepts

Active Portfolio Management covers both the basic principles and foundations, as well as the practical details, of the process of active investment management. It provides a proven approach to active investment that is designed to beat not only unman-aged indexes but also competing, less rigorous management approaches.

About the Authors

Richard C. Grinold, Ph.D., is Managing Director, Advanced Strategies and Research at Barclays Global Investors. Dr. Grinold spent 14 years at BARRA, where he served as Director of Research, Executive Vice President, and President; and 20 years on the faculty at the School of Business Administration at the University of California, Berkeley, where he served as the chairman of the finance faculty, chairman of the management science faculty, and director of the Berkeley Program in Finance.

Ronald N. Kahn, Ph.D., is Managing Director in the Advanced Active Strategies Group at Barclays Global Investors. Dr. Kahn spent 11 years at BARRA, including over seven years as Director of Research. He is on the editorial advisory board of the Journal of Portfolio Management and the Journal of Investment Consulting.

Both authors have published extensively, and are widely known in the industry for their pioneering work on risk models, portfolio optimization, and trading analysis; equity, fixed income, and international investing; and quantitative approaches to active management.

596 pages

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czy wybrany tytuł polskojęzyczny lub anglojęzyczny jest aktualnie na półce księgarni.