Active Portfolio Management(2ed.Grinold，Kahn).pdf

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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