We argue that Kahn’s view is based on an interpretation of Grinold’s law that (a) fails to evaluate strategies in a portfolio context and therefore draws the wrong. Notes: Active Portfolio Management. By Zhipeng Yan. Active Portfolio Management. By Richard C. Grinold and Ronald N. Kahn. Part I Foundations. Chapter 1. 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.

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Grinold and Kahn denote the information turnover rate g. One person found this helpful. 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. Active Portfolio Management, Second Editionnow sets the bar even higher.

Structurers don’t need this book. Andrew Bartels rated it it was amazing Apr 04, Benefit from access to our content including: Page 1 of 1 Start over Page 1 of 1.

Since the book is so well rated by many other readers, I guess this is not an introductory course for first-timers. Lists with This Book.

Breadth, Skill, and Time | The Journal of Portfolio Management

The Kindle rendition is an utter disaster and sheer disappointment. What other items do customers buy after viewing this item? Every risk manager and trader in the business needs this book. Thank you for your interest in spreading the word on The Journal of Portfolio Management. Tweet Widget Facebook Like. Be the first to ask a question about Active Portfolio Management. Quantitative Equity Portfolio Management: Bill rated it really liked it Sep 14, He calls this book “masterpiece”, and he says he ended up writing grniold book Foundations for Scientific Investing to make understanding the subject easier.


Trevor rated it it was amazing May 26, However, this book is a lot more than that. Try the Kindle edition and experience these great reading features: The book is absolutely superior over the academic textbooks that usually limit themselves to Grinole and efficient market theory. Don’t have a Kindle?

They write a book which generalizes well to all iahn involving information under uncertainty. Matthew Tuxford rated it it was ok Oct 16, Anselmo Araujo rated it really liked it Feb 13, It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management.

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 grinodl now and khan. Grinold and Ronald N. It revisits a number of discussions from the first edition, shedding new light on some of today’s most pressing issues, including risk, dispersion, market impact, and performance analysis, while providing empirical evidence where appropriate.

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Active Portfolio Management is an outstanding treatise on the methods and techniques of measuring performance and risk control that is both rigorous and understandable. There are no discussion topics on this book yet.

Even gribold you skip the mathematics and qnd of the heavy stuff is kept neatly tucked away in appendices, so as not to frighten the MBAs and small childrenyou’re likely to get something out of it: Active Portfolio Management, Second Editionnow sets the bar even higher. English Choose a language for shopping. You may want to check it out first. I learned mostly about the underside of the investment process, a issue that I think not communicated enough today.


It outlines an active management framework that begins with a benchmark portfolio, then defines exceptional grknold as they relate to that benchmark. The book is not an easy read, but I don’t think that’s because the subject is inherently hard. ComiXology Thousands of Digital Comics. A reference classic, and surprisingly well written. Mar 02, Robert Muller rated it really liked it. Daniel Walker rated it really liked it Oct 05, 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.

Like its predecessor, this volume details how to apply economics, econometrics, and operations research to solving practical investment problems, and uncovering superior profit opportunities. What I kaahn most remarkable about the book is how it rewards upon rereadings. Amazon Music Stream millions of songs. Kindle Edition Verified Purchase.