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Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk Hardcover – October 26, 1999
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From the Back Cover
An Innovative Approach to Portfolio Management. Blending the Most Profitable Aspects of Analytical and Quantitative.
Professional acclaim for Active Portfolio Management, 2nd edition. "Active Portfolio Management is a unique reference for understanding the source of value-added by a money manager. I am an enthusiastic supporter of the methodology used in the book, and I highly recommend it to both the professional and academic communities."
-Professor William N. Goetzmann, Director, International Center for Finance, Yale University School of Management.
"This edition of Active Portfolio Management continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals."
-William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management.
"Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn."
-Scott Stewart, Portfolio Manager, Fidelity Select Equity ® Discipline, Co-Manager, Fidelity Freedom ® Funds.
"This second edition will not remain on the shelf, but will be continually referenced by
both novice and expert. There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management."
-Eric N. Remole, Managing Director, Head of Global Structured Equity, Credit Suisse Asset Management.
"Active Portfolio Management, Second Edition, remains a readable yet theoretically and mathematically rigorous book that one would expect from two such distinguished authors. I heartily recommend this book 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.
"A more comprehensive examination of quantitative techniques for portfolio management would be hard to find. Active Portfolio Management is an outstanding treatise on the methods and techniques of measuring performance and risk control that is both rigorous and understandable."
-Jon A. Christopherson, Research Fellow, Frank Russell Company.
About the Author
Richard C. Grinold, Ph.D., is Managing Director, Advanced Strategies and Research at Barclays Global Investors. Dr. Grinold spent 14 years at BARRA, where he served as Director of Research, Executive Vice President, and President; and 20 years on the faculty at the School of Business Administration at the University of California, Berkeley, where he served as the chairman of the finance faculty, chairman of the management science faculty, and director of the Berkeley Program in Finance.
Ronald N. Kahn, Ph.D., is Managing Director in the Advanced Active Strategies Group at Barclays Global Investors. Dr. Kahn spent 11 years at BARRA, including over seven years as Director of Research. He is on the editorial advisory board of the Journal of Portfolio Management and the Journal of Investment Consulting.
Both authors have published extensively, and are widely known in the industry for their pioneering work on risk models, portfolio optimization, and trading analysis; equity, fixed income, and international investing; and quantitative approaches to active management.
More About the AuthorsDiscover books, learn about writers, read author blogs, and more.
Top Customer Reviews
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.Read more ›
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.
The book is extremely detailed and very well written. It covers more than the basics. It includes a variety of advanced theories and describes recent academic research.
A excellent choice !
Even though the book is full of financial theory the approach is practical. The topic at hand is the generation of risk adjusted relative returns. 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. When I first read this book 10 - 12 years ago I didn't by any means find it enjoyable. It's thick, theoretical, filled with formulas and I was frankly not ready for it. Yet, over the years I find myself returning to the key concepts of the book over and over again. Out of the four parts the first lays out the authors' theories and then the latter three cover the practical work of a quant PM.
The claim to fame of the book is a concept called The Fundamental Law of Active Management that reads IR=IC*√BR. It states that there are two sources of oportunities to increase the information ratio. The first is the ability to forecast asset's residual return, measured by the information coefficient. The IC is the connection between forecasts and eventual returns, IC=2*(N1/N)-1 where N1 denotes the number of correct bets and N the total number of bets made. It's a measure of skill. Active asset management is all about forecasting.Read more ›
Most Recent Customer Reviews
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. Read more
Another book that takes 600 pages of babbling to say what any mathematician could say in 100 pages. I don't know why finance writers don't just get to the point. Read morePublished on December 21, 2013 by Alan C. Orrick
My first impression of the kindle version is negative because it doesn't have a indexed table of contents . Read morePublished on November 20, 2012 by Otávio Augusto A P Viegas
As many other reviewers have indicated, this book is verbose and poorly organized, and clearly not written by people trained in mathematics. Read morePublished on February 22, 2010 by Narada
This is truly the bible of active quantitative portfolio management. Its only true weakness is its lengthyness and the rather naive analysis of the CAPM.Published on January 11, 2009 by Franz Woyzeck
I read this books about a year aand a half go, and thought at the time it introduced some really good techniques for manaaging a portfolio. Read morePublished on August 8, 2008 by John S
I know many have this book and have never read it. Others read this book but never really understand it. Read morePublished on June 30, 2007 by 1000Books
Excellent book for whom is looking for a practical approach that at the same time is presented through a rigorous mathematical methodology. Read morePublished on January 31, 2006 by Pablo Sandler