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Active Portfolio Management : A quantative approach for producing superior returns and selecting superior money managers
 
 

Active Portfolio Management : A quantative approach for producing superior returns and selecting superior money managers (Hardcover)

by Richard C. Grinold (Author), Ronald N. Kahn (Author) "The art of investing is evolving into the science of investing ..." (more)
3.5 out of 5 stars  See all reviews (2 customer reviews)
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Active Portfolio Management : A quantative approach for producing superior returns and selecting superior money managers + Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management (McGraw-Hill Library of Investment & Finance) + Modern Investment Management: An Equilibrium Approach (Wiley Finance)
Price For All Three: £139.19

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Product details

  • Hardcover: 596 pages
  • Publisher: McGraw-Hill Professional; 2 edition (1 Nov 1999)
  • Language English
  • ISBN-10: 0070248826
  • ISBN-13: 978-0070248823
  • Product Dimensions: 22.4 x 16.2 x 4.4 cm
  • Average Customer Review: 3.5 out of 5 stars  See all reviews (2 customer reviews)
  • Amazon.co.uk Sales Rank: 202,232 in Books (See Bestsellers in Books)
  • See Complete Table of Contents

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Product Description

Product Description

"I heartily recommend Active Portfolio Management, Second Edition, 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."

-Michael Even, Managing Director and Chief of Global Quantitative Analysis, Citibank Global Asset Management.

Active Portfolio Management covers both the basic principles and foundations, as well as the practical details, of the process of active investment management. It provides a proven approach to active investment that is designed to beat not only unmanaged indexes but also competing, less rigorous management approaches.



Book Description

A revision of one of McGraw-Hill's most significant investment works-and an important addition to the Irwin Library of Investment and Finance. Written by two of today's top investment theorists, Active Portfolio Management reflects some of the most original and most powerful thinking in the field of investment management today. The book provides a highly rigorous approach to understanding and profiting from active investment-that is, the style of investing that is designed to beat the market. The book will have broad appeal among investment professionals and academics alike. For money managers, the book shows how to transform their market insights into profitable investment strategies. For institutional investors, the book shows how to analyze and select superior money managers. And for the academics, the book breaks new ground in the important area of investment performance and evaluation. An important book by two thought leaders in investment management, Active Portfolio Management will provide investment professionals with provocative ideas that they can use to improve their performance.


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The art of investing is evolving into the science of investing. Read the first page
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Active Portfolio Management : A quantative approach for producing superior returns and selecting superior money managers
84% buy the item featured on this page:
Active Portfolio Management : A quantative approach for producing superior returns and selecting superior money managers 3.5 out of 5 stars (2)
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Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management (McGraw-Hill Library of Investment & Finance)
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Modern Investment Management: An Equilibrium Approach (Wiley Finance)
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Customer Reviews

2 Reviews
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Average Customer Review
3.5 out of 5 stars (2 customer reviews)
 
 
 
 
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Most Helpful Customer Reviews

 
8 of 9 people found the following review helpful:
5.0 out of 5 stars Self-contained and broad-explanatory: A new Benchmark!, 31 Aug 2001
Those investors and financial analysts familiarized with BARRA results will find in this book an extended explanation about the assumptions, lines of thought, conclusions and possible applications over a wide range of concepts. In our profession it is usual to find papers applying concepts without offering a previous clear and non-ambiguous mathematical definition. This book covers such a fault of precision in our field, introducing gradually the outstanding concepts in literature and showing the multiple mutual relations. Main virtues are: Self-contained and broad-explanatory of the main topics regarding Active Asset Management. A must in order to introduce advanced portfolio analysis.

Just a couple of critics (for some people they might also be additional virtues): i) Most of results are obtained using basic matricial algebra and linear programming, so more powerful mathematical tools would lead to more general and forward-looking results (surprisingly, no stochastic calculus in sight, and lack of serious time series treatment!). ii) Some people reproducing step by step every analytical result will discover that, despite the final result is basically correct, some interim results might be incorrect (please contact me for several examples and a list of errata).

Specially if you are interested in using the results and concepts, and not so much in the algebraic derivation, this is your new optimal Benchmark.

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2.0 out of 5 stars Badly written but the standard text, 8 Jun 2009
By K. Thompson (London) - See all my reviews
(REAL NAME)   
A strange book, it is about a mathematical model for portfolio management. In fact it is the standard text for statistical arbitrage hedge funds as well. So it is surprising to find the maths is all in 'technical appendices' which appears to have been written to a different author from the more economics focussed main text. This is pretty confusing, and it doesn't help that they change notation every chapter (although I have to admit I found this a useful prod to check one's understanding). The maths is certainly not abstruse, some matrix algebra, some statistics. The models they present are pretty humdrum these days (everything linear and Gaussian) but it seems nobody else has spelt out the basics so completely and hence this badly written book is on everyone's shelves as the standard reference.
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