Notes: Active Portfolio Management. By Zhipeng Yan. Active Portfolio Management. By Richard C. Grinold and Ronald N. Kahn. Part I Foundations. Active Portfolio Management has 86 ratings and 7 reviews. Richard Grinold and Ronald Kahn, today retired and at BlackRock respectively, share a history in . Active Portfolio Management: A Quantitative Approach to Providing Richard C. Grinold. and. Ronald N. Kahn. New York.: McGraw-Hill.
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To increase the IR from 0,5 to 1,0 one would need to double skill, increase breadth by a factor of four or some combination of the two. The book’s principal target audience is quantitatively inclined investment management professionals with some masters-level knowledge of finance. Tsung-Han Yang rated it it was ok Feb 17, Matthew Tuxford rated it it was ok Oct 16, 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.
McLeaveyJerald E. Lists with This Book. Measuring Tail Risks at High Frequency. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management.
Active Portfolio Management
Apr 15, Yifang Liu rated it really liked it Shelves: It is more like an encyclopedia, and not an easy reading for business people: In this book the authors nearly describe how 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.
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Andrew Bartels rated it it kzhn amazing Apr 04, I refer to it weekly at work. It outlines an active management framework that begins with a benchmark portfolio, then defines exceptional returns as they relate to that benchmark.
Active Portfolio Management by Kahn, Richard Grinold; Ronald
Since the book is so well rated by many other readers, I guess this is not an introductory course for first-timers. Bernhard rated it it was amazing Jun 06, Citing articles via Google Scholar. You manabement not currently have access to this article. Pinto No preview available – Active Portfolio Management, Second Editionnow sets the bar even higher. If a new opportunity is fully correlated to a previous one it adds no IR.
Daniel Walker rated it really liked it Oct 05, To ask other readers questions about Active Portfolio Managementplease sign up. Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in 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 academic Sharpe ratio.
No trivia or quizzes yet. IC is about 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.
A reference classic, and surprisingly well written. Grinold spent 14 years at BARRA, where he served as Director of Research, Executive Vice President, and President; and 20 years on the faculty at the School of Business Administration at the University of California, Berkeley, where he served as the chairman of the finance faculty, chairman of the management science faculty, and director of the Berkeley Program in Finance.
Richard GrinoldRonald Kahn Limited preview – Active Portfolio Management was groundbreaking when it was first published in as instead it was devoted to the practical process of generating alpha from a quantative angle.
It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management. A Dynamic Process John L. There is a substantial expansion in both porfolio and breadth on the original. Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in The managmeent 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.
;ortfolio Often the asset management process focuses excessively on the quality of bets versus the quantity. Active asset management is all about forecasting. Not recommended for fun read, but a complete must-have for active portfolio managers’ knowledge base. I read this book because it was recommended for Coursera course: 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 positio Academic financial text books have, to a large extent, focused on beta and the so called efficient market.
Portfokio, the book could play a valuable supporting role in an investments course as optional outside reading. A Quantitative Approach for Producing Superior Apart from mnagement jumbling numbers, for someone with insight into the issue, the book is easy to read. Return to Book Page.
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