Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn.” -Scott Stewart, Portfolio Manager. Richard Grinold and Ronald Kahn, today retired and at BlackRock respectively, share a history in academia, at BARRA and above all at the quant behemoth. The Fundamental Law of Active Management by Grinold and Kahn is designed to assess the value of active management, as expressed by the information ratio.
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I would recommend this book to anyone who is curious about scientific and investment theories. GrinoldRonald N.
Aug 21, InvestingByTheBooks. I read this book because it was recommended for Coursera course: Hardcoverpages.
If you’re interested in how indexes benchmarks are constructed for specific purposes, this is the book. Just a moment while we sign you in to your Goodreads account. Do be prepared for a kanh of linear algebra and calculus and probability theory, though. Like its predecessor, this volume details how to apply economics, econometrics, and operations research to solving practical investment problems, and uncovering superior profit opportunities.
Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn. It may not make you rich, and it may not make the people you invest for rich, but you will at least understand why or why not after understanding the math.
Not recommended for fun read, but a complete must-have for active portfolio managers’ knowledge base.
Skill—the correlation of forecasts and returns—increases with the return horizon for small horizons, but then asymptotically decays to zero for very long horizons. A good introductory book kabn quantitative portfolio management which is also mathematically rigorous. Scopus 1 Google Scholar.
Table of Contents Index by author.
Breadth, Skill, and Time | The Journal of Portfolio Management
Richard Kwhn and Ronald Kahn, today retired and at BlackRock respectively, share a history in academia, at BARRA and above all at the quant behemoth Barclays Ginold Investors where they both held leading positio Academic financial text books have, to a large extent, focused on beta and the so called efficient market.
Nicholas rated it it was amazing Jan 02, Han rated it really liked it Jan 17, I learned mostly about the underside of the investment process, a issue that I think not communicated enough today.
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Tsung-Han Yang rated it it was ok Feb 17, Richard Grinold and Ronald Kahn, today retired and kxhn BlackRock respectively, share a history in academia, at BARRA and above all at the quant behemoth Barclays Global Investors where they both held leading positions while writing this book. Benefit from access to our content including: Bud rated it really liked it Nov 25, It was my first book on Portfolio Management, although it has very good ratings on goodreads and amazon, I surprisingly found this book rather obscure and not-easy-to-follow.
Limiting yourself to being long only lowers IR. Yet, over the years I find myself returning to the key concepts of the book over and over again.
Breadth, Skill, and Time
Benefit from access to our content including:. Active Portfolio Management was groundbreaking when it was first published in as instead it was devoted to the practical process of generating alpha from a quantative angle. It is more like an encyclopedia, and not an easy reading for business people: If you like books and love to build cool products, we may be looking for you.
Login below to view the full article. Matthew Tuxford rated it it was ok Oct 16, Fact, Fiction, and the Size Effect. Trivia About Active Portfolio Not recommended for fun read, but a complete must-have for active portfolio managers’ knowledg This is the textbook for the active portfolio management course at Haas School of Business taught by Dr.