Active Portfolio Management

Active Portfolio Management:AQuantitativeApproachforProducingSuperiorReturnsandControllingRisk

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内容简介

"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 (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. 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.

作者简介

理查德 C. 格林诺德 博士(Richard C. Grinold)

巴克莱全球投资公司高级策略与研究部董事总经理。Grinold博士在BARRA公司工作了14年,先后担任研究总监、执行副总裁和总裁;在加州大学伯克利分校工商管理学院任教20年,先后担任金融系主任、管理科学系主任和伯克利金融研究计划的负责人。

雷诺德 N. 卡恩 博士(Ronald N. Kahn)

巴克莱全球投资公司高级主动策略组董事总经理。Kahn博士在BARRA公司工作的11年中,担任研究总监超过7年。他也是《投资组合管理期刊》(Journal of Portfolio Management)和《投资咨询期刊》(Journal of Investment Consulting)的编委。

两位作者发表了大量的文章和书籍。他们开创性的工作在业内熟知,包括风险模型、组合优化和交易分析;...

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Active Portfolio Management是1999年由McGraw-Hill出版,作者RichardGrinold。

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