Active portfolio management : a quantitative approach for providing superior returns and controlling risk / Richard C. Grinold, Ronald N. Kahn.
Series: [Irwin library of investment & finance]Publication details: New York : McGraw-Hill, c2000.Edition: 2nd edDescription: xv, 596 p. : ill. ; 24 cmISBN:- 0070248826
- HG4529.5.G75 1999
Item type | Current library | Collection | Call number | Status | Date due | Barcode | Item holds | |
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Strathmore University (Main Library) Open Shelf | BOOK | HG4529.5.G75 1999 | Available | 80560 | |||
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Strathmore University (Main Library) Open Shelf | BOOK | HG4529.5.G75 1999 | Available | 80561 | |||
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Strathmore University (Main Library) Open Shelf | BOOK | HG4529.5.G75 1999 | Available | 80562 | |||
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Strathmore University (Main Library) Open Shelf | BOOK | HG4529.5.G75 1999 | Available | 80563 | |||
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Strathmore University (Main Library) Open Shelf | BOOK | HG4529.5.G75 1999 | Available | 80564 |
Includes bibliographical references and index.
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.
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