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Title: Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk by Richard C. Grinold, Ronald N. Kahn ISBN: 0-07-024882-6 Publisher: McGraw-Hill Trade Pub. Date: 26 October, 1999 Format: Hardcover Volumes: 1 List Price(USD): $75.00 |
Average Customer Rating: 3.5 (2 reviews)
Rating: 2
Summary: What could have been explained in 50 pages...
Comment: 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
Summary: Clear, efficient and useful
Comment: 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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Title: Modern Investment Management: An Equilibrium Approach by Bob Litterman, Quantitative Resources Group ISBN: 0471124109 Publisher: John Wiley & Sons Pub. Date: 03 July, 2003 List Price(USD): $129.95 |
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Title: Advanced modelling in finance using Excel and VBA by Mary Jackson, Mike Staunton ISBN: 0471499226 Publisher: John Wiley & Sons Pub. Date: 30 May, 2001 List Price(USD): $75.00 |
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Title: Market Models: A Guide to Financial Data Analysis by Carol Alexander ISBN: 0471899755 Publisher: John Wiley & Sons Pub. Date: 15 November, 2001 List Price(USD): $105.00 |
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Title: Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation by Richard O. Michaud ISBN: 0875847439 Publisher: Oxford University Press Pub. Date: June, 1998 List Price(USD): $45.00 |
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Title: Value at Risk: The New Benchmark for Managing Financial Risk by Philippe Jorion ISBN: 0071355022 Publisher: McGraw-Hill Trade Pub. Date: 17 August, 2000 List Price(USD): $75.00 |
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