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ID:33939542
大小:6.32 MB
页数:620页
时间:2019-03-01
《Active Portfolio Management(2ed.Grinold,Kahn).pdf》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、PageiiiActivePortfolioManagementAQuantitativeApproachforProvidingSuperiorReturnsandControllingRiskRichardC.GrinoldRonaldN.KahnSECONDEDITIONPageviiCONTENTSPrefacexiAcknowledgmentsxvChapter11IntroductionPartOneFoundationsChapter211ConsensusExpectedReturns:TheCapitalAssetPr
2、icingModelChapter341RiskChapter487ExceptionalReturn,Benchmarks,andValueAddedChapter5109ResidualRiskandReturn:TheInformationRatioChapter6147TheFundamentalLawofActiveManagementPartTwoExpectedReturnsandValuationChapter7173ExpectedReturnsandtheArbitragePricingTheoryPageviiiC
3、hapter8199ValuationinTheoryChapter9225ValuationinPracticePartThreeInformationProcessingChapter10261ForecastingBasicsChapter11295AdvancedForecastingChapter12315InformationAnalysisChapter13347TheInformationHorizonPartFourImplementationChapter14377PortfolioConstructionChapt
4、er15419Long/ShortInvestingChapter16445TransactionsCosts,Turnover,andTradingChapter17477PerformanceAnalysisPageixChapter18517AssetAllocationChapter19541BenchmarkTimingChapter20559TheHistoricalRecordforActiveManagementChapter21573OpenQuestionsChapter22577SummaryAppendixA58
5、1StandardNotationAppendixB583GlossaryAppendixC587ReturnandStatisticsBasicsIndex591PagexiPREFACEWhyasecondedition?Whytaketimefrombusylives?Whydevotetheenergytoimprovinganexistingtextratherthanwritinganentirelynewone?Whytoywithsuccess?Theshortansweris:ourreaders.Wehavebeen
6、extremelygratifiedbyActivePortfolioManagement'sreceptionintheinvestmentcommunity.Thebookseemstobeontheshelfofeverypracticingoraspiringquantitativelyorientedinvestmentmanager,andtheshelvesofmanyfundamentalportfoliomanagersaswell.Butwhileourreadershaveclearlyvaluedthebook,
7、theyhavealsochallengedustoimproveit.Covermoretopicsofrelevancetotoday.Addempiricalevidencewhereappropriate.Clarifysomediscussions.ThelongansweristhatwehavetriedtoimproveActivePortfolioManagementalongexactlythesedimensions.First,wehaveaddedsignificantamountsofnewmateriali
8、nthesecondedition.NewchapterscoverAdvancedForecasting(Chap.11),TheInformationHorizon(Chap.13),Long/Shor
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