Grinold, Richard C.
Active portfolio management a quantitative approach for providing superior returns and controlling risk Richard C. Grinold, Ronald N. Kahn. - 2a. edición - xv, 596 páginas ilustrado 24 cm. - [Irwin library of investment & finance] .
Incluye referencias bibliográficas e índice.
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
0070248826
Portfolio management--Mathematical models.
Administración de cartera (finanzas)--Modelo matemático
332.632 / G868a
Active portfolio management a quantitative approach for providing superior returns and controlling risk Richard C. Grinold, Ronald N. Kahn. - 2a. edición - xv, 596 páginas ilustrado 24 cm. - [Irwin library of investment & finance] .
Incluye referencias bibliográficas e índice.
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
0070248826
Portfolio management--Mathematical models.
Administración de cartera (finanzas)--Modelo matemático
332.632 / G868a