Active portfolio management : quantitative theory and applications. vii / Grinold & Kahn

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Published by Probus. Chicago, IL - 1995

Note

CONTENTS: 1. Introduction PART 1: FOUNDATIONS 2. Consensus expected returns: the capital asset pricing model 3. Risk 4. Exceptional return, benchmarks and value added 5. Residual risk and return: the information ratio 6. The fundamental law of active management PART 2: EXPECTED RETURNS AND VALUATION 7. Expected returns and the arbitrage pricing theory 8. Valuation in theory 9. Valuation in practice PART 3: IMPLEMENTATION 10. Forecasting 11. Information analysis 12. Portfolio construction 13. Transactions costs, turnover and trading 14. Performance analysis 15. Benchmark timing 16. Summary Appendix 1: Standard notation Appendix 2: Glossary Appendix 3: Return and statistics basics

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Book | Grinold, Richard C.

Edition : 2nd ed, Revised. Published by McGraw-Hill. New York, NY 2008

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