Notes: Active Portfolio Management. By Zhipeng Yan. Active Portfolio Management. By Richard C. Grinold and Ronald N. Kahn. Part I Foundations. By RICHARD C. GRINOLD and RONALD N. KAHN. Chicago and Cambridge, Probus Publishing, Pp. vii + Active Portfolio Management by Richard. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn.” -Scott Stewart, Portfolio Manager.
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Return to Book Page. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn. 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.
Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in 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.
Active Portfolio Management, Second Editionnow 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.
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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Active Portfolio Management by Kahn, Richard Grinold; Ronald
This book is not yet featured on Listopia. Mar 02, Robert Muller rated it really liked it. If you’re an investing professional, you should already know about this book, whether you use it or not. It’s a highly quantitative read that will make your undergraduate portfoloo courses valuable, literally.
It may not make you rich, and it may not make the people you invest for rich, but you will portfolip least understand why or why not after understanding the math. If you’re interested in how indexes benchmarks are constructed for specific purposes, this is the book.
If you’re interested in serious m If you’re an investing professional, you should already know about this book, whether you use it or not. If you’re interested in serious measures of investment skill and performance, ditto. Do be prepared for grihold lot of linear algebra and calculus and probability theory, though.
Oct 21, Victor rated it did not like it Shelves: Portffolio read this book because it was recommended for Coursera course: It was my first book on Portfolio Management, although it has very good ratings on goodreads and amazon, I surprisingly found this book rather obscure and not-easy-to-follow. The book tries to do a mathematical approach to portfolio management, but mathematical formulas come out of the blue, with no previous explanation or justification. The level of math required is not a big deal, pirtfolio is just that formul I read this book because it was recommended for Coursera course: The level of math required is not a big deal, it is just that formulas are completely unexplained.
Since the book is so well rated by many other readers, I guess this is not an introductory course for first-timers. Jan 12, Clare rated it it was amazing Shelves: A reference classic, and surprisingly well written. I refer to it weekly at work. Aug 21, InvestingByTheBooks.
Academic financial text books have, to a large extent, focused on beta and the so called efficient market. Active Portfolio Management was groundbreaking actvie it was first published in as instead it was devoted to the practical process of generating alpha from a quantative angle. Richard Grinold and Ronald Kahn, today retired and at BlackRock respectively, share a history in managsment, at BARRA and above all at the quant behemoth Barclays Global Investors where they both held leading positio Academic manageemnt text books have, to a large extent, focused on beta and the so called efficient market.
Active Portfolio Management
Richard Grinold and Ronald Kahn, today retired and at BlackRock respectively, share a history in academia, at BARRA and above all at the quant behemoth Barclays Global Investors where they both held leading positions while writing this book. Even though the book is full of financial theory the approach is practical. The topic at hand is the generation of risk adjusted relative returns. The market returns are always the baseline and success is measured by the IR the ratio of residual return to residual variance rather than an gtinold Sharpe ratio.
Yet, over the years I find myself returning to the key concepts of the book over and over again. It states that there are two sources of oportunities to increase the information ratio. Active asset management is all about forecasting. The second source of IR is breadth — the number of independent active oportunities per year the PM have to use his skill on.
IC is portfllio the quality of investment opportunities while BR is about the quantity of investment opportunities through coverage of more securities or a higher frequency of opportunities.
It is for example more valuable to be able to forecast the returns of stocks than stocks. To increase the IR from 0,5 to 1,0 one would pkrtfolio to double skill, increase breadth by mqnagement factor of four or some combination of the two.
Mnagement additive value of further breadth requires investment opportunities to be totally uncorrelated this favours an eclectic investment style. If a new opportunity is fully correlated to a previous one it adds no IR.
Most opportunities fall somewhere in between. Often the asset management process focuses excessively on the quality of bets versus the quantity. The concept of breadth emphasizes the negative secondary effects that come with placing limits on an investment process with an edge.
Limiting yourself to being long managdment lowers IR.
Placing restrictions on the amount of cash in the portfolio lowers IR, so does demanding sector neutrality in an equity portfolio etc. Jul 19, Isuru Daulagala rated it really liked it. A good introductory book about quantitative portfolio management which is also mathematically rigorous. Apr 15, Yifang Liu rated it really liked it Shelves: This is the textbook for the active portfolio management course at Haas School of Business taught by Dr.
Ronald Kahn, the author of the book. It is more like an encyclopedia, and not an easy reading for business people: However it does provide everything you need to know to construct, backtest, and evaluate your portfolio.
I would keep it on my shelf for future reference. Not recommended for fun read, but a complete must-have for active portfolio managers’ knowledg This is the textbook for the active portfolio management course at Haas School of Business taught by Dr. Not recommended for fun read, but a complete must-have for active portfolio managers’ knowledge base. Dec 01, Shauntelle James rated it it was amazing.
This book communicates the background of investment extremely well. Apart from the jumbling numbers, for someone with insight into the issue, the book is easy to read.
I learned mostly about the underside of the investment process, a issue that I think not communicated enough today. I would recommend this book to anyone who is curious about scientific and investment theories.
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