From the leading authorities in their field, Richard C. Grinold and Ronald N. Kahn reveal the newest, most effective tools for avoiding common pitfalls while maximizing profits through active portfolio management. The quantitative approach to active management has developed over the past 65 years. In , Markowitz framed investing as a trade-off between expected return and risk—which he defined as the variance of return opening portfolio management to quantitative analysis.
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Would you like to tell us about a lower price? If you are a seller for this product, would you like to suggest updates through seller support? An Innovative Approach to Portfolio Management. Professional acclaim for Active Portfolio Management, 2nd edition. I am an enthusiastic supporter of the methodology used in the book, and I highly recommend it to both the professional and academic communities. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn.
There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management. I heartily recommend this book to any practitioner who wants to refine his or her knowledge of state-of-the-art quantitative money management or who would like a straightforward reference to quickly answer those thorny theoretical questions that hit us now and again.
Active Portfolio Management is an outstanding treatise on the methods and techniques of measuring performance and risk control that is both rigorous and understandable. Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in By outlining an innovative process to uncover raw signals of asset returns, develop them into refined forecasts, then use those forecasts to construct portfolios of exceptional return and minimal risk, i.
Active Portfolio Management, Second Edition, now sets the bar even higher. Like its predecessor, this volume details how to apply economics, econometrics, and operations research to solving practical investment problems, and uncovering superior profit opportunities.
It outlines an active management framework that begins with a benchmark portfolio, then defines exceptional returns as they relate to that benchmark. It revisits a number of discussions from the first edition, shedding new light on some of today's most pressing issues, including risk, dispersion, market impact, and performance analysis, while providing empirical evidence where appropriate.
The result is an updated, comprehensive set of strategic concepts and rules of thumb for guiding the process of-and increasing the profits from-active investment management. Read more Read less. Frequently bought together. Add all three to Cart. Some of these items ship sooner than the others. Show details. Ships from and sold by Amazon SG. FREE Delivery. Customers who viewed this item also viewed.
Page 1 of 1 Start over Page 1 of 1. Previous page. Advances in Financial Machine Learning. Marcos Lopez de Prado. Active Equity Management. Next page. McGraw-Hill authors represent the leading experts in their fields and are dedicated to improving the lives, careers, and interests of readers worldwide McGraw-Hill authors represent the leading experts in their fields and are dedicated to improving the lives, careers, and interests of readers worldwide.
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Verified Purchase. There's three basic categories of quants. Structurers, risk managers and traders. Structurers don't need this book. They should go buy Hull and be happy. Every risk manager and trader in the business needs this book. When I was first introduced to this book, I figured it was more or less only for their money management businessa manual for building Barclays Index Plus funds.
That is what Grinold and Kahn do for a living, and they probably wrote the book to have something to give to dumb pupils who don't know anything. The book certainly covers some of the details and models used in money management tasks. However, this book is a lot more than that. They didn't write a book about specific investment instances that come up. They write a book which generalizes well to all fields involving information under uncertainty.
They don't talk much about futures or options; this really is about equities, but if you're trading in those other markets, you still need this book. Yes, you actually do need some calculus and linear algebra to read the book.
Even if you skip the mathematics and most of the heavy stuff is kept neatly tucked away in appendices, so as not to frighten the MBAs and small children , you're likely to get something out of it: at least you'll have a vague idea of what the propeller heads in the white laboratory jackets are up to. What I find most remarkable about the book is how it rewards upon rereadings. Got a trading problem?
There is probably a section in this book which relates to it. When I'm banging my head on a problem, and getting no joy from the google machine, Grinold and Kahn's book often has something which at least points me to the answer. This is a remarkable quality, as the book really was, as far as I can tell, written to help out with the kinds of tasks they face at BGI.
Personally, I would have liked a little more meat on non-parametric statistics, maybe some overarching Bayesian framework and some ideas on backtesting, a la bootstrap resampling, but it would probably change the tenor of the book and reduce its utility for what they do at work. Still, they'll probably read this review, and if they take requests, that's mine. Its a good book not as advanced as I was looking for. Product is excellent for novice.
Decent read, not sure how helpful. Excellent book for whom is looking for a practical approach that at the same time is presented through a rigorous mathematical methodology. The book is absolutely superior over the academic textbooks that usually limit themselves to CAPM and efficient market theory.
Grinold and Kahn go much forward and at the same time had managed to clearly and meticulously show the CAPM model, its limitations and the more sophisticated tools developed from it.
Beside of showing the active way of managing a portfolio, the serious mathematical presentations through which the different theories such as CAPM are described are very convincing of how difficult it could be to beat the market. The Kindle rendition is an utter disaster and sheer disappointment. For one, there are typos. The print edition and the kindle version do not match. For example, where the Greek letter sigma is used in the text, the Kindle would replace it with some Latin letters such as "s" or even an "o".
Secondly, the Equations are stored as tiny images. That means, if you increase the text size, the equations still remain tiny. If you change the font and background colour, the equations will still remain the same colour. Also, if you zoom into the image, it becomes blurred. Go to Amazon. Back to top. Get to Know Us. Shopbop Designer Fashion Brands. Alexa Actionable Analytics for the Web. DPReview Digital Photography.
Advances in Active Portfolio Management
Would you like to tell us about a lower price? If you are a seller for this product, would you like to suggest updates through seller support? An Innovative Approach to Portfolio Management. Professional acclaim for Active Portfolio Management, 2nd edition.
Skip to search form Skip to main content You are currently offline. Some features of the site may not work correctly. Grinold and Ronald N. Grinold , Ronald N.