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

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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