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eBook Active Portfolio Management: A Quantitative Approach for Proactive Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Cducing Superior Returns and Selecting Superior Returns and Controlling Risk epub

by Richard C. Grinold

eBook Active Portfolio Management: A Quantitative Approach for Proactive Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Cducing Superior Returns and Selecting Superior Returns and Controlling Risk epub
  • ISBN: 007137695X
  • Author: Richard C. Grinold
  • Genre: No category
  • Language: English
  • ePUB size: 1760 kb
  • FB2 size 1430 kb
  • Formats mobi docx txt rtf


Active Portfolio Management book. The topic at hand is the generation of risk adjusted relative returns.

Active Portfolio Management book. The market returns are always the baseline and success is measured by the IR (the ratio of residual return to residual variance) rather than an academic Sharpe ratio.

Active Portfolio Management is a unique reference for understanding the source of value-added by a money manager. The book is absolutely superior over the academic textbooks that usually limit themselves to CAPM and efficient market theory. Update: I've found "Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management" by Chincarini and Kim to be a good alternative.

Richard Grinold, Ronald Kahn. It seems pretty clear that the book is also written FOR the idiots, er, I mean, MBAs who manage mutual funds and pension funds. A tell: the authors use the bizarre approximation. ln(1+x) x (there is nothing bizarre about the approximation, but the use of the logarithm gives much simpler derivations of much more widely applicable results).

Quantitative active management-applying rigorous analysis and a. .In active management, the preferences point toward high residual return and low residual risk.

Quantitative active management-applying rigorous analysis and a rigorous process to try to beat the market-is a cousin of the modern study of financial economics. Financial economics is conducted with much vigor at leading universities, safe from any need to deliver investment returns. The appendix of Richard Roll's 1977 paper "A Critique of the Asset Pricing Theory's Tests" provides an excellent introduction to portfolio analysis. We also borrow ideas from statistics, regression, and optimization. We like to believe that there are no books covering the same territory as this.

Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk

Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk.

e; -William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management. e;Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk.

It outlines an active management framework that begins with a benchmark portfolio, then defines exceptional returns as they relate to that benchmark.

Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Scott Stewart, Portfolio Manager, Fidelity Select Equity ® Discipline. Co-Manager, Fidelity Freedom ® Funds. Books related to Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk.

Comments: (7)
Yozshugore
Decent read, not sure how helpful
Zulkishicage
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. It's written for people who understand math; it's a book on *quantitative* finance -not "seat of pants" trading. 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.

If you're a former physics nerd, the classic physics book it most resembles for me is the Landau & L. (amazon won't let me say the other guy's name) book on classical mechanics. The clarity and density of G&K's book very much resemble L&L. Like L&L, it can be used as a first text on this sort of thing. You may prefer to get your basics elsewhere; I liked learning mechanics from Goldstein for example, but once I knew my p's and q's, I tossed Goldstein and just read L&L when I needed professional insight. G&K is like this; theirs is the book that you'll keep around as a reference once you have a handle on the basics whether you learn the basics from them or not.

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.
Nalmetus
Its a good book not as advanced as I was looking for. Product is excellent for novice.
Manesenci
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.
Mejora
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.
I ℓ٥ﻻ ﻉ√٥υ
This book was recommended to me as the bible of active management. I attempted reading it several times, but gave up every time. Coming from a science and engineering background, I find the exposition verbose, yet lacking a ground-up derive-from-fundamentals approach. Even in the description of CAPM, I cannot tell the assumptions from the conclusions of the theory. The book is not an easy read, but I don't think that's because the subject is inherently hard.

Update: I've found "Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management" by Chincarini and Kim to be a good alternative.

Update 2: Please see Timothy Falcon Crack's response to my review. Having read his books, I really respect his opinion. He calls this book "masterpiece", and he says he ended up writing another book (Foundations for Scientific Investing) to make understanding the subject easier. You may want to check it out first.
Rayli
My first impression of the kindle version is negative because it doesn't have a indexed table of contents . The rest of the book seems fine for a quantitative aproach active portfolio management book.
I bought it for a present
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