Active portfolio management : a quantitative approach for providing superior returns and controlling risk / Richard C. Grinold, Ronald N. Kahn.

By:

Grinold, Richard C

Contributor(s):

Kahn, Ronald N

Series: [Irwin library of investment & finance]Publication details: New York : McGraw-Hill, c2000.Edition: 2nd edDescription: xv, 596 p. : ill. ; 24 cmISBN:

0070248826

Subject(s):

Portfolio management -- Mathematical models

LOC classification:

HG4529.5.G75 1999

Online resources:

Contents:

Table of Contents

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Holdings
Item type	Current library	Collection	Call number	Status	Barcode
BOOK	Strathmore University (Main Library) Open Shelf	BOOK	HG4529.5.G75 1999	Available	80560
BOOK	Strathmore University (Main Library) Open Shelf	BOOK	HG4529.5.G75 1999	Available	80561
BOOK	Strathmore University (Main Library) Open Shelf	BOOK	HG4529.5.G75 1999	Available	80562
BOOK	Strathmore University (Main Library) Open Shelf	BOOK	HG4529.5.G75 1999	Available	80563
BOOK	Strathmore University (Main Library) Open Shelf	BOOK	HG4529.5.G75 1999	Available	80564

Total holds: 0

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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