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Active portfolio management a quantitative approach for providing superior returns and controlling risk Richard C. Grinold, Ronald N. Kahn.

By: Grinold, Richard C.
Contributor(s): Kahn, Ronald N.
Series: [Irwin library of investment & finance].New York McGraw-Hill ©2000Edition: 2a. edición.Description: xv, 596 páginas ilustrado 24 cm.ISBN: 0070248826.Subject(s): Portfolio management -- Mathematical models | Administración de cartera (finanzas) -- Modelo matemáticoDDC classification: 332.632 Online resources: Contributor biographical information | Publisher description | Table of contents
Contents:
Introduction -- Consensus expected returns: The capital asset pricing model -- Risk -- Exceptional return, benchmarks, and value added -- Residual risk and return: The information ratio -- The fundamental law of active management -- Expected returns and the arbitrage pricing theory -- Valuation in theory -- Valuation in practice -- Forecasting basics -- Advanced forecasting -- Information analysis -- The information horizon -- Portfolio construction -- Long/Short investing -- Transactions costs, turnover, and trading -- Performance analysis -- Asset allocation -- Benchmark timing -- The historical record for active managemente -- Open questions -- Summary -- Appendix A. Standard notation -- Appendix B. Glossary -- Appendix C. Return and statistics basics
List(s) this item appears in: Economia
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Item type Current location Collection Call number Copy number Status Date due Barcode Item holds
Libros Libros Biblioteca Central
General 332.632 / G868a (Browse shelf) Ej.1 Available 8000022258
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Introduction -- Consensus expected returns: The capital asset pricing model -- Risk -- Exceptional return, benchmarks, and value added -- Residual risk and return: The information ratio -- The fundamental law of active management -- Expected returns and the arbitrage pricing theory -- Valuation in theory -- Valuation in practice -- Forecasting basics -- Advanced forecasting -- Information analysis -- The information horizon -- Portfolio construction -- Long/Short investing -- Transactions costs, turnover, and trading -- Performance analysis -- Asset allocation -- Benchmark timing -- The historical record for active managemente -- Open questions -- Summary -- Appendix A. Standard notation -- Appendix B. Glossary -- Appendix C. Return and statistics basics

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