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Advances in Active Portfolio Management: New Developments in Quantitative Investing

Autor Richard Grinold, Ronald Kahn
en Limba Engleză Hardback – 13 ian 2020
From the leading authorities in their field—the newest, most effective tools for avoiding common pitfalls while maximizing profits through active portfolio management


Whether you’re a portfolio manager, financial adviser, or investing novice, this important follow-up to the classic guide to active portfolio management delivers everything you need to beat the market at every turn.  

Advances in Active Portfolio Management gets you fully up to date on the issues, trends, and challenges in the world of active management—and shows how to apply advances in the Grinold and Kahn’s legendary approach to meet current challenges. Composed of articles published in today’s leading management publications—including several that won Journal of Portfolio Management’s prestigious Bernstein Fabozzi/Jacobs Levy Award—this comprehensive guide is filled with new insights into:
 
• Dynamic Portfolio Management
• Signal Weighting
• Implementation Efficiency 
• Holdings-based attribution
• Expected returns
• Risk management
• Portfolio construction
• Fees     

Providing everything you need to master active portfolio management in today’s investing landscape, the book is organized into three sections: the fundamentals of successful active management, advancing the authors’ framework, and applying the framework in today’s investing landscape. 

The culmination of many decades of investing experience and research, Advances in Active Portfolio Management makes complex issues easy to understand and put into practice. It’s the one-stop resource you need to succeed in the world of investing today.




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Specificații

ISBN-13: 9781260453713
ISBN-10: 1260453715
Pagini: 464
Dimensiuni: 165 x 236 x 58 mm
Greutate: 0.91 kg
Editura: McGraw Hill Education
Colecția McGraw-Hill
Locul publicării:United States

Cuprins

Acknowledgments
Preface
1 Introduction: Advances in Active Portfolio Management
SECTION 1
Recap of Active Portfolio Management
2 Introduction to the Recap of
Active Portfolio Management Section
3 Seven Insights into Active Management
4 A Retrospective Look at the
Fundamental Law of Active Management
5 Breadth, Skill, and Time
SECTION 2
Advances in Active Portfolio Management
SECTION 2.1 Dynamic Portfolio Management
6 Introduction to the Dynamic Portfolio Management Section
7 Implementation Efficiency
8 Dynamic Portfolio Analysis
9 Signal Weighting
10 Linear Trading Rules for Portfolio Management
11 Nonlinear Trading Rules for Portfolio Management
SECTION 2.2 Portfolio Analysis and Attribution
12 Introduction to the Portfolio Analysis and Attribution Section
13 Attribution
14 The Description of Portfolios
SECTION 3
Applications of Active Portfolio Management
SECTION 3.1 Expected Return: The Equity Risk Premium
and Market Efficiency
15 Introduction to “A Supply Model of the Equity Premium”
16 A Supply Model of the Equity Premium
17 Introduction to “Is Beta Dead Again?”
18 Is Beta Dead Again?
19 Introduction to “Are Benchmark Portfolios Efficient?”
20 Are Benchmark Portfolios Efficient?
SECTION 3.2 Expected Return: Smart Beta
21 Introduction to the Smart Beta Section
22 Who Should Buy Smart Beta?
23 Smart Beta: The Owner’s Manual
24 Smart Beta Illustrated
25 The Asset Manager’s Dilemma
SECTION 3.3 Risk
26 Introduction to the Risk Section
27 Heat, Light, and Downside Risk
SECTION 3.4 Portfolio Construction
28 Introduction to the Portfolio Construction Section
29 Optimal Gearing
30 The Dangers of Diversification
31 The Surprisingly Small Impact of Asset Growth
on Expected Alpha
32 Mean-Variance and Scenario-Based Approaches
to Portfolio Selection
33 Five Myths About Fees
SECTION 4
Extras
34 Introduction to the Extras Section
35 Presentations upon Receiving the James R. Vertin Award
36 What Investors Can Learn from a Very Alternative Market
37 UCLA Master of Financial Engineering
Commencement Address
SECTION 5
Conclusion
38 Advances in Active Portfolio Management Conclusions
Index