Buch, Englisch, 658 Seiten, Format (B × H): 157 mm x 235 mm, Gewicht: 1089 g
New Developments in Quantitative Investing
Buch, Englisch, 658 Seiten, Format (B × H): 157 mm x 235 mm, Gewicht: 1089 g
ISBN: 978-1-260-45371-3
Verlag: McGraw-Hill Education
From the leading authorities in their field—the newest, most effective tools for avoiding common pitfalls while maximizing profits through active portfolio management
Whether you’re a portfolio manager, financial adviser, or investing novice, this important follow-up to the classic guide to active portfolio management delivers everything you need to beat the market at every turn.
Advances in Active Portfolio Management gets you fully up to date on the issues, trends, and challenges in the world of active management—and shows how to apply advances in the Grinold and Kahn’s legendary approach to meet current challenges. Composed of articles published in today’s leading management publications—including several that won Journal of Portfolio Management’s prestigious Bernstein Fabozzi/Jacobs Levy Award—this comprehensive guide is filled with new insights into:
• Dynamic Portfolio Management
• Signal Weighting
• Implementation Efficiency
• Holdings-based attribution
• Expected returns
• Risk management
• Portfolio construction
• Fees
Providing everything you need to master active portfolio management in today’s investing landscape, the book is organized into three sections: the fundamentals of successful active management, advancing the authors’ framework, and applying the framework in today’s investing landscape.
The culmination of many decades of investing experience and research, Advances in Active Portfolio Management makes complex issues easy to understand and put into practice. It’s the one-stop resource you need to succeed in the world of investing today.
Autoren/Hrsg.
Weitere Infos & Material
Acknowledgments
Preface 1 Introduction: Advances in Active Portfolio Management SECTION 1
Recap of Active Portfolio Management2 Introduction to the Recap of
Active Portfolio Management Section 3 Seven Insights into Active Management 4 A Retrospective Look at the
Fundamental Law of Active Management 5 Breadth, Skill, and Time SECTION 2
Advances in Active Portfolio Management
SECTION 2.1 Dynamic Portfolio Management6 Introduction to the Dynamic Portfolio Management Section 7 Implementation Efficiency 8 Dynamic Portfolio Analysis 9 Signal Weighting 10 Linear Trading Rules for Portfolio Management 11 Nonlinear Trading Rules for Portfolio Management SECTION 2.2 Portfolio Analysis and Attribution12 Introduction to the Portfolio Analysis and Attribution Section 13 Attribution 14 The Description of Portfolios SECTION 3
Applications of Active Portfolio Management
SECTION 3.1 Expected Return: The Equity Risk Premium
and Market Efficiency15 Introduction to “A Supply Model of the Equity Premium” 16 A Supply Model of the Equity Premium 17 Introduction to “Is Beta Dead Again?” 18 Is Beta Dead Again? 19 Introduction to “Are Benchmark Portfolios Efficient?” 20 Are Benchmark Portfolios Efficient? SECTION 3.2 Expected Return: Smart Beta21 Introduction to the Smart Beta Section 22 Who Should Buy Smart Beta? 23 Smart Beta: The Owner’s Manual 24 Smart Beta Illustrated 25 The Asset Manager’s Dilemma SECTION 3.3 Risk26 Introduction to the Risk Section 27 Heat, Light, and Downside Risk SECTION 3.4 Portfolio Construction28 Introduction to the Portfolio Construction Section 29 Optimal Gearing 30 The Dangers of Diversification 31 The Surprisingly Small Impact of Asset Growth
on Expected Alpha 32 Mean-Variance and Scenario-Based Approaches
to Portfolio Selection 33 Five Myths About Fees SECTION 4
Extras34 Introduction to the Extras Section 35 Presentations upon Receiving the James R. Vertin Award 36 What Investors Can Learn from a Very Alternative Market 37 UCLA Master of Financial Engineering
Commencement Address SECTION 5
Conclusion38 Advances in Active Portfolio Management Conclusions Index
