Active Portfolio Management
Notes: Active Portfolio Management
By Zhipeng Yan
Active Portfolio Management
By Richard C. Grinold and Ronald N. Kahn
Part I Foundations......................................................................................................... 2 Chapter 1 Introduction..................................................................................................... 2 Chapter 2 Consensus Expected Returns: The CAPM ..................................................... 3 Chapter 3 Risk ................................................................................................................. 3 Chapter 4 Exceptional Return, Benchmarks, and Value Added...................................... 5 Chapter 5 Residual Risk and Return: The Information Ratio ......................................... 6 Chapter 6 The Fundamental Law of Active Management .............................................. 9 Part II Expected Returns and Valuation....................................................................... 11 Chapter 7 Expected Returns and the Arbitrage Pricing Theory .................................... 11 Chapter 8 Valuation in Theory ...................................................................................... 13 Chapter 9 Valuation in Practice..................................................................................... 13 Part III Implementation ................................................................................................ 14 Chapter 10 Forecasting................................................................................................ 14 Chapter 11 Information Analysis ............................................................................... 16 Chapter 12 Portfolio Construction.............................................................................. 18 Chapter 13 Transactions Costs, Turnover, and Trading............................................. 22 Chapter 14 Performance Analysis
By Zhipeng Yan
Active Portfolio Management
By Richard C. Grinold and Ronald N. Kahn
Part I Foundations......................................................................................................... 2 Chapter 1 Introduction..................................................................................................... 2 Chapter 2 Consensus Expected Returns: The CAPM ..................................................... 3 Chapter 3 Risk ................................................................................................................. 3 Chapter 4 Exceptional Return, Benchmarks, and Value Added...................................... 5 Chapter 5 Residual Risk and Return: The Information Ratio ......................................... 6 Chapter 6 The Fundamental Law of Active Management .............................................. 9 Part II Expected Returns and Valuation....................................................................... 11 Chapter 7 Expected Returns and the Arbitrage Pricing Theory .................................... 11 Chapter 8 Valuation in Theory ...................................................................................... 13 Chapter 9 Valuation in Practice..................................................................................... 13 Part III Implementation ................................................................................................ 14 Chapter 10 Forecasting................................................................................................ 14 Chapter 11 Information Analysis ............................................................................... 16 Chapter 12 Portfolio Construction.............................................................................. 18 Chapter 13 Transactions Costs, Turnover, and Trading............................................. 22 Chapter 14 Performance Analysis