Active Portfolio Management- A Quantitative Approach for Producing Superior Returns and Controlling Risk-McGraw-Hill (1999)

• Authors: Richard C. Grinold, Ronald N. Kahn
• Publisher: McGraw-Hill
• Year of Publication: 1999
• Format: PDF
• Difficulty: ⭐⭐⭐⭐
• Recommendation Index: ⭐⭐⭐⭐⭐
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Introduction

This book details the core concepts and practical methods of active portfolio management, aiming to achieve superior returns and effectively control risks through quantitative methods. The book provides an in-depth exploration of how to use mathematical techniques such as economics, econometrics, and operations research to solve practical investment problems and discover opportunities for excess returns. Key topics include: How to identify raw signals of asset returns, develop them into precise forecasts, and use these forecasts to build portfolios with superior returns and minimal risk. In addition, this book covers key topics such as risk modeling, portfolio optimization, transaction analysis, asset allocation, long and short investing, information horizons, risk diversification, market impact, and performance analysis. With its rigorous mathematical methods and clear operational guidance, this book provides valuable theoretical foundations and practical cases for quantitative analysts, algorithmic traders, financial engineers and data scientists.

Main features

• Solid theoretical foundation
• Rich practical cases
• Clear operating instructions
• Suitable for practical applications

Suitable for the crowd

• Quantitative Analyst
• Algorithmic Trader
• Financial Engineer
• Data Scientist