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Active Portfolio Management : A quantative approach for producing superior returns and selecting superior money managers - Hardcover

 
9780070248823: Active Portfolio Management : A quantative approach for producing superior returns and selecting superior money managers

Synopsis

"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 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.

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From the Back Cover

An Innovative Approach to Portfolio Management. Blending the Most Profitable Aspects of Analytical and Quantitative.

Professional acclaim for Active Portfolio Management, 2nd edition. "Active Portfolio Management is a unique reference for understanding the source of value-added by a money manager. I am an enthusiastic supporter of the methodology used in the book, and I highly recommend it to both the professional and academic communities."

-Professor William N. Goetzmann, Director, International Center for Finance, Yale University School of Management.

"This 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.

"Active Portfolio Management, Second Edition, remains a readable yet theoretically and mathematically rigorous book that one would expect from two such distinguished authors. I heartily recommend this book to any practitioner who wants to refine his or her knowledge of state-of-the-art quantitative money management or who would like a straightforward reference to quickly answer those thorny theoretical questions that hit us now and again."

-Michael Even, Managing Director and Chief of Global Quantitative Analysis, Citibank Global Asset Management.

"A more comprehensive examination of quantitative techniques for portfolio management would be hard to find. Active Portfolio Management is an outstanding treatise on the methods and techniques of measuring performance and risk control that is both rigorous and understandable."

-Jon A. Christopherson, Research Fellow, Frank Russell Company.

About the Author

McGraw-Hill authors represent the leading experts in their fields and are dedicated to improving the lives, careers, and interests of readers worldwide

McGraw-Hill authors represent the leading experts in their fields and are dedicated to improving the lives, careers, and interests of readers worldwide

"About this title" may belong to another edition of this title.

  • PublisherMcGraw Hill
  • Publication date1999
  • ISBN 10 0070248826
  • ISBN 13 9780070248823
  • BindingHardcover
  • LanguageEnglish
  • Edition number2
  • Number of pages624

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9780071376952: Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk

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