active portfolio management

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1、PageiiiActivePortfolioManagementAQuantitativeApproachforProvidingSuperiorReturnsandControllingRiskRichardC.GrinoldRonaldN.KahnSECONDEDITIONPageviiCONTENTSPrefacexiAcknowledgmentsxvChapter11IntroductionPartOneFoundationsChapter211ConsensusExpectedReturns:Th

2、eCapitalAssetPricingModelChapter341RiskChapter487ExceptionalReturn,Benchmarks,andValueAddedChapter5109ResidualRiskandReturn:TheInformationRatioChapter6147TheFundamentalLawofActiveManagementPartTwoExpectedReturnsandValuationChapter7173ExpectedReturnsandtheA

3、rbitragePricingTheoryPageviiiChapter8199ValuationinTheoryChapter9225ValuationinPracticePartThreeInformationProcessingChapter10261ForecastingBasicsChapter11295AdvancedForecastingChapter12315InformationAnalysisChapter13347TheInformationHorizonPartFourImpleme

4、ntationChapter14377PortfolioConstructionChapter15419Long/ShortInvestingChapter16445TransactionsCosts,Turnover,andTradingChapter17477PerformanceAnalysisPageixChapter18517AssetAllocationChapter19541BenchmarkTimingChapter20559TheHistoricalRecordforActiveManag

5、ementChapter21573OpenQuestionsChapter22577SummaryAppendixA581StandardNotationAppendixB583GlossaryAppendixC587ReturnandStatisticsBasicsIndex591PagexiPREFACEWhyasecondedition?Whytaketimefrombusylives?Whydevotetheenergytoimprovinganexistingtextratherthanwriti

6、nganentirelynewone?Whytoywithsuccess?Theshortansweris:ourreaders.WehavebeenextremelygratifiedbyActivePortfolioManagement'sreceptionintheinvestmentcommunity.Thebookseemstobeontheshelfofeverypracticingoraspiringquantitativelyorientedinvestmentmanager,andthes

7、helvesofmanyfundamentalportfoliomanagersaswell.Butwhileourreadershaveclearlyvaluedthebook,theyhavealsochallengedustoimproveit.Covermoretopicsofrelevancetotoday.Addempiricalevidencewhereappropriate.Clarifysomediscussions.Thelongansweristhatwehavetriedtoimpr

8、oveActivePortfolioManagementalongexactlythesedimensions.First,wehaveaddedsignificantamountsofnewmaterialinthesecondedition.NewchapterscoverAdvancedForecasting(Chap.11),TheInformationHorizon(Chap.13),Long/Shor