Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk
Author: Richard C. Grinold, Ronald N. Kahn
List Price: $75.00
Our Price: Click to see the latest and low price
ISBN: 0070248826
Publisher: McGraw-Hill Trade (26 October, 1999)
Sales Rank: 16,351
Average Customer Rating: 3.5 out of 5
Customer Reviews
Rating: 2 out of 5
What could have been explained in 50 pages...
Grinhold and Kahn's concept of the Information Ratio being dependant on skill (i.e. the correlation between expected outperformance and real outperformance) and sqrt. breath (i.e. the number of securities a manager follows and the number of times he rebalances his portfolio) is theoretically excellent. However, in the real world these correlations and even breath are hard to measure and mostly propriatary to the manager. Yet G&K go on for 500 pages on quantitive techniques that might be interesting for those with a PhD in Risk Management.For the average (practical) person interested in portfolio management this book is way too academic, using some 10 Greek letters and Cov, Std per page (and I'm not even talking about the technical appendices), making it very hard to read and comprehend.
Rating: 5 out of 5
Clear, efficient and useful
The book carefully develops the concepts of Portfolio Theory. Topics include: risk aversion, the Capital Market Line, the Markowitz Portfolio Selection Model, the Capital Asset Pricing Model, beta, market equilibrium, etc. Subsequent chapters cover fixed income securities, security analysis, derivatives and active portfolio management.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 !
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