Active Portfolio Management.pdf

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1、Notes:ActivePortfolioManagementByZhipengYanActivePortfolioManagementByRichardC.GrinoldandRonaldN.KahnPartIFoundations.........................................................................................................2Chapter1Introduction.....................................................

2、................................................2Chapter2ConsensusExpectedReturns:TheCAPM.....................................................3Chapter3Risk.................................................................................................................3Chapter4ExceptionalReturn,B

3、enchmarks,andValueAdded......................................5Chapter5ResidualRiskandReturn:TheInformationRatio.........................................6Chapter6TheFundamentalLawofActiveManagement..............................................9PartIIExpectedReturnsandValuation....................

4、...................................................11Chapter7ExpectedReturnsandtheArbitragePricingTheory....................................11Chapter8ValuationinTheory......................................................................................13Chapter9ValuationinPractice..............

5、.......................................................................13PartIIIImplementation................................................................................................14Chapter10Forecasting....................................................................................

6、............14Chapter11InformationAnalysis...............................................................................16Chapter12PortfolioConstruction..............................................................................18Chapter13TransactionsCosts,Turnover,andTrading.................

7、............................22Chapter14PerformanceAnalysis..............................................................................24Chapter15BenchmarkTiming..............................................................