Active portfolio management, 2nd Ed.


Language: Anglais
Cover of the book Active portfolio management, 2nd Ed.

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596 p. · 22.9x15.2 cm · Hardback
'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 ® Discipline

Co-Manager, Fidelity Freedom ® Funds.

'This Second edition will not remain on the shelf, but will be continually referenced by both novice and expert. There is a su
Introduction. Part 1: 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 2: Expected Returns and Valuation. Expected Returns and the Arbitrage Pricing Theory. Valuation in Theory. Valuation in Practice. Part 3: Information Processing. Forecasting Basics. Advanced Forecasting. Information Analysis. The Information Horizon. Part 4: 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.