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Book/Article Detail


 
Reading Title:
Reading Author(s):
 
 
Book Title:
Book Author(s):
Chapter:
6
Page Range:
Total Pages:
23
 
 
Publisher:
Publication Year:
2000
Language:
English
 
 
 
 
FRM Paid Candidate Price:         US$4.00
Reading Price:
GARP Member (Non-Affiliate):   US$4.00
 
Affiliate & Non-Member:             US$5.00
 
* Order print copy for an additional US$2.00 + shipping & handling (select at checkout)
 
 
 
To purchase all chapters from this book currently available from GDL, click here.
 
 
Quantitative Level:
Intermediate
 
 
Keywords:
 
 
Topics Covered:
Investment management, active portfolio management, information ratio, fundamental law of active management, strategy breadth, information coefficient, additivity of fundamental law, assumptions of fundamental law, tests of fundamental law, information model, optimal active position
 
 
Reading Contents:
6.1 Introduction
6.2 The fundamental law
6.3 Examples
6.4 Additivity
6.5 Assumptions
6.6 Not the law of large numbers
6.7 Tests
6.8 Investment style
6.9 Summary
Problems
References
App. 6.1 The information model
App. 6.2 The objective
App. 6.3 The optimal active position
App. 6.4 Calculation and approximation of the information ratio
Exercises
Applications exercises
 
 
 
 
Book Review:
Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in 1994. By outlining an innovative process to uncover raw signals of asset returns, develop them into refined forecasts, then use those forecasts to construct portfolios of exceptional return and minimal risk (portfolios that consistently beat the market), this hallmark book helped thousands of investment managers. Active Portfolio Management, Second Edition, now sets the bar even higher. This volume details how to apply economics, econometrics, and operations research to solving practical investment problems, and uncovering superior profit opportunities. It outlines an active management framework that begins with a benchmark portfolio, then defines exceptional returns as they relate to that benchmark. Beyond the comprehensive treatment of the active management process covered previously, this new edition expands to cover asset allocation, long/short investing, information horizons, and other topics relevant today. It revisits a number of discussions, 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. The result is an updated, comprehensive set of strategic concepts and rules of thumb for guiding the process of-and increasing the profits from-active investment management.
 



 
   
GARP Digital Library