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Active portfolio management : a quantitative approach for providing superior returns and controlling risk 2nd ed

Active portfolio management : a quantitative approach for providing superior returns and controlling risk 2nd ed (Loan 20 times)

Material type
단행본
Personal Author
Grinold, Richard C. Kahn, Ronald N.
Title Statement
Active portfolio management : a quantitative approach for providing superior returns and controlling risk / Richard C. Grinold, Ronald N. Kahn.
판사항
2nd ed.
Publication, Distribution, etc
New York :   McGraw-Hill,   c2000.  
Physical Medium
xv, 596 p. : ill. ; 24 cm.
Series Statement
[Irwin library of investment finance]
ISBN
0070248826
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Portfolio management -- Mathematical models.
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020 ▼a 0070248826
040 ▼a DLC ▼c DLC ▼d UKM ▼d 211009
042 ▼a pcc
049 1 ▼l 111246231
050 0 0 ▼a HG4529.5 ▼b .G75 2000
082 0 0 ▼a 332.6/015/1 ▼2 21
090 ▼a 332.60151 ▼b G868a2
100 1 ▼a Grinold, Richard C.
245 1 0 ▼a Active portfolio management : ▼b a quantitative approach for providing superior returns and controlling risk / ▼c Richard C. Grinold, Ronald N. Kahn.
250 ▼a 2nd ed.
260 ▼a New York : ▼b McGraw-Hill, ▼c c2000.
300 ▼a xv, 596 p. : ▼b ill. ; ▼c 24 cm.
440 0 ▼a [Irwin library of investment finance]
504 ▼a Includes bibliographical references and index.
650 0 ▼a Portfolio management ▼x Mathematical models.
700 1 ▼a Kahn, Ronald N.

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.60151 G868a2 Accession No. 111246231 Availability Available Due Date Make a Reservation Service B M
No. 2 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.60151 G868a2 Accession No. 121178146 Availability Available Due Date Make a Reservation Service B M
No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.60151 G868a2 Accession No. 111246231 Availability Available Due Date Make a Reservation Service B M
No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.60151 G868a2 Accession No. 121178146 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents


CONTENTS

Preface = xi

Acknowledgments = xv

Chapter1 Introduction = 1

PART ONE FOUNDATIONS

 Chapter2 Consensus Expected Returns: The Capital Asset Pricing Model = 11

 Chapter3 Risk = 41

 Chapter4 Exceptional Return, Benchmarks, and Value Added = 87

 Chapter5 Residual Risk and Return: The Information Ratio = 109

 Chapter6 The Fundamental Law of Active Management = 147

PART TWO EXPECTED RETURNS AND VALUATION

 Chapter7 Expected Returns and the Arbitrage Pricing Theory = 173

 Chapter8 Valuation in Theory = 199

 Chapter9 Valuation in Practice = 225

PART THREE INFORMATION PROCESSING

 Chapter10 Forecasting Basics = 261

 Chapter11 Advantage Forecasting = 295

 Chapter12 Information Analysis = 315

 Chapter13 The Information Horizon = 347

PART FOUR IMPLEMENTATION

 Chapter14 Portfolio Construction = 377

 Chapter15 Long/Short Investing = 419

 Chapter16 Transactions Costs, Turnover, and Trading = 445

 Chapter17 Performance Analysis = 477

 Chapter18 Asset Allocation = 517

 Chapter19 Benchmark Timing = 541

 Chapter20 The Historical Record for Active Management = 559

 Chapter21 Open Questions = 573

 Chapter22 Summary = 577

Appendix A Standard Notation = 581

Appendix B Glossary = 583

Appendix C Return and Statistics Basis = 587

INDEX = 591



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