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ID:33945717
大小:6.35 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:The
2、CapitalAssetPricingModelChapter341RiskChapter487ExceptionalReturn,Benchmarks,andValueAddedChapter5109ResidualRiskandReturn:TheInformationRatioChapter6147TheFundamentalLawofActiveManagementPartTwoExpectedReturnsandValuationChapter7173ExpectedReturnsandtheArb
3、itragePricingTheoryPageviiiChapter8199ValuationinTheoryChapter9225ValuationinPracticePartThreeInformationProcessingChapter10261ForecastingBasicsChapter11295AdvancedForecastingChapter12315InformationAnalysisChapter13347TheInformationHorizonPartFourImplementa
4、tionChapter14377PortfolioConstructionChapter15419Long/ShortInvestingChapter16445TransactionsCosts,Turnover,andTradingChapter17477PerformanceAnalysisPageixChapter18517AssetAllocationChapter19541BenchmarkTimingChapter20559TheHistoricalRecordforActiveManagemen
5、tChapter21573OpenQuestionsChapter22577SummaryAppendixA581StandardNotationAppendixB583GlossaryAppendixC587ReturnandStatisticsBasicsIndex591PagexiPREFACEWhyasecondedition?Whytaketimefrombusylives?Whydevotetheenergytoimprovinganexistingtextratherthanwritingane
6、ntirelynewone?Whytoywithsuccess?Theshortansweris:ourreaders.WehavebeenextremelygratifiedbyActivePortfolioManagement'sreceptionintheinvestmentcommunity.Thebookseemstobeontheshelfofeverypracticingoraspiringquantitativelyorientedinvestmentmanager,andtheshelves
7、ofmanyfundamentalportfoliomanagersaswell.Butwhileourreadershaveclearlyvaluedthebook,theyhavealsochallengedustoimproveit.Covermoretopicsofrelevancetotoday.Addempiricalevidencewhereappropriate.Clarifysomediscussions.ThelongansweristhatwehavetriedtoimproveActi
8、vePortfolioManagementalongexactlythesedimensions.First,wehaveaddedsignificantamountsofnewmaterialinthesecondedition.NewchapterscoverAdvancedForecasting(Chap.11),TheInformationHorizon(Chap.13),Long/Shor
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