Active Portfolio Management A Quantitative Approach For Producing Superior Returns And Selecting Superior Returns And Controlling Risk
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Active Portfolio Management A Quantitative Approach For Producing Superior Returns And Selecting Superior Returns And Controlling Risk
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Author : Richard Grinold
language : en
Publisher: McGraw Hill Professional
Release Date : 1999-10-26
Active Portfolio Management A Quantitative Approach For Producing Superior Returns And Selecting Superior Returns And Controlling Risk written by Richard Grinold and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-10-26 with Business & Economics categories.
"This new edition of Active Portfolio Management continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals." -William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management. "Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn." -Scott Stewart, Portfolio Manager, Fidelity Select Equity ® Discipline Co-Manager, Fidelity Freedom ® Funds. "This Second edition will not remain on the shelf, but will be continually referenced by both novice and expert. There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management." -Eric N. Remole, Managing Director, Head of Global Structured Equity, Credit Suisse Asset Management. 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, i.e., 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. Like its predecessor, 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 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. 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.
Advanced Portfolio Optimization
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Author : Dany Cajas
language : en
Publisher: Springer Nature
Release Date : 2025-05-18
Advanced Portfolio Optimization written by Dany Cajas and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-05-18 with Business & Economics categories.
This book is an innovative and comprehensive guide that provides readers with the knowledge about the latest trends, models and algorithms used to build investment portfolios and the practical skills necessary to apply them in their own investment strategies. It integrates latest advanced quantitative techniques into portfolio optimization, raises questions about which alternatives to modern portfolio theory exists and how they can be applied to improve the performance of multi-asset portfolios. It provides answers and solutions by offering practical tools and code samples that enable readers to implement advanced portfolio optimization techniques and make informed investment decisions. Portfolio Optimization goes beyond traditional portfolio theory (Quadratic Programming), incorporating last advances in convex optimization techniques and cutting-edge machine learning algorithms. It extensively addresses risk management and uncertainty quantification, teaching readers how to measure and minimize various forms of risk in their portfolios. This book goes beyond traditional back testing methodologies based on historical data for investment portfolios, incorporating tools to create synthetic datasets and robust methodologies to identify better investment strategies considering real aspects like transaction costs. The author provides several methodologies for estimating the input parameters of investment portfolio optimization models, from classical statistics to more advanced models, such as graph-based estimators and Bayesian estimators, provide a deep understanding of advanced convex optimization models and machine learning algorithms for building investment portfolios and the necessary tools to design the back testing of investment portfolios using several methodologies based on historical and synthetic datasets that allow readers identify the better investment strategies.
Risk Based Investment Management In Practice
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Author : Frances Cowell
language : en
Publisher: Springer
Release Date : 2013-10-31
Risk Based Investment Management In Practice written by Frances Cowell and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-31 with Business & Economics categories.
A practitioner's account of how investment risk affects the decisions of professional investment managers. Jargon-free, with a broad coverage of investment types and asset classes, the non-investment professional will find this book readable and accessible.
Strategic Analysis Of Financial Markets The In 2 Volumes
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Author : Steven D Moffitt
language : en
Publisher: World Scientific Publishing Company
Release Date : 2017-03-24
Strategic Analysis Of Financial Markets The In 2 Volumes written by Steven D Moffitt and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-24 with Business & Economics categories.
Volume 1 of 'The Strategic Analysis of Financial Markets,' — Framework, is premised on the belief that markets can be understood only by dropping the assumptions of rationality and efficient markets in their extreme forms, and showing that markets still have an inherent order and inherent logic. But that order results primarily from the 'predictable irrationality' of investors, as well as from people's uncoordinated attempts to profit. The market patterns that result do not rely on rationality or efficiency.A framework is developed for understanding financial markets using a combination of psychology, statistics, game and gambling analysis, market history and the author's experience. It expresses analytically how professional investors and traders think about markets — as games in which other participants employ inferior, partially predictable strategies. Those strategies' interactions can be toxic and lead to booms, bubbles, busts and crashes, or can be less dramatic, leading to various patterns that are mistakenly called 'market inefficiencies' and 'stylized facts.'A logical case is constructed, starting from two foundations, the psychology of human decision making and the 'Fundamental Laws of Gambling.' Applying the Fundamental Laws to trading leads to the idea of 'gambling rationality' (grationality), replacing the efficient market's concept of 'rationality.' By classifying things that are likely to have semi-predictable price impacts (price 'distorters'), one can identify, explore through data analysis, and create winning trading ideas and systems. A structured way of doing all this is proposed: the six-step 'Strategic Analysis of Market Method.' Examples are given in this and Volume 2.Volume 2 of 'The Strategic Analysis of Financial Markets' — Trading System Analytics, continues the development of Volume 1 by introducing tools and techniques for developing trading systems and by illustrating them using real markets. The difference between these two Volumes and the rest of the literature is its rigor. It describes trading as a form of gambling that when properly executed, is quite logical, and is well known to professional gamblers and analytical traders.But even those elites might be surprised at the extent to which quantitative methods have been justified and applied, including a life cycle theory of trading systems. Apart from a few sections that develop background material, Volume 2 creates from scratch a trading system for Eurodollar futures using principles of the Strategic Analysis of Markets Method (SAMM), a principled, step-by-step approach to developing profitable trading systems. It has an entire Chapter on mechanical methods for testing and improvement of trading systems, which transcends the rather unstructured and unsatisfactory 'backtesting' literature. It presents a breakout trend following system developed using factor models. It also presents a specific pairs trading system, and discusses its life cycle from an early, highly profitable period to its eventual demise. Recent developments in momentum trading and suggestions on improvements are also discussed.
Applied Fundamentals In Finance
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Author : Enzo Mondello
language : en
Publisher: Springer Nature
Release Date : 2023-06-23
Applied Fundamentals In Finance written by Enzo Mondello and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-06-23 with Business & Economics categories.
This textbook provides a comprehensive introduction to portfolio management and investments. Focusing on four core areas – portfolio management, equities, bonds, and derivatives – it is primarily intended for undergraduate and graduate students alike. However, it will also benefit practitioners working in the fields of financial analysis and portfolio management and professionals who aspire to such professional activities in the financial industry. To ensure its high practical relevance, the book includes a host of case studies and examples from real-world practice, mainly from the German and Swiss financial markets. Additionally, the book shows how to implement the models in Microsoft Excel.
Hedge Funds
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Author : H. Kent Baker
language : en
Publisher: Oxford University Press
Release Date : 2017-07-26
Hedge Funds written by H. Kent Baker and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-07-26 with Business & Economics categories.
Hedge Funds: Structure, Strategies, and Performance provides a synthesis of the theoretical and empirical literature on this intriguing, complex, and frequently misunderstood topic. The book dispels some common misconceptions of hedge funds, showing that they are not a monolithic asset class but pursue highly diverse strategies. Furthermore, not all hedge funds are unusually risky, excessively leveraged, invest only in illiquid asses, attempt to profit from short-term market movements, or only benefit hedge fund managers due to their high fees. Among the core issues addressed are how hedge funds are structured and how they work, hedge fund strategies, leading issues in this investment, and the latest trends and developments. The authors examine hedge funds from a range of perspectives, and from the theoretical to the practical. The book explores the background, organization, and economics of hedge funds, as well as their structure. A key part is the diverse investment strategies hedge funds follow, for example some are activists, others focusing on relative value, and all have views on managing risk. The book examines various ways to evaluate hedge fund performance, and enhances understanding of their regulatory environment. The extensive and engaging examination of these issues help the reader understands the important issues and trends facing hedge funds, as well as their future prospects.
Active Index Investing
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Author : Steven A. Schoenfeld
language : en
Publisher: John Wiley & Sons
Release Date : 2011-08-04
Active Index Investing written by Steven A. Schoenfeld and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-04 with Business & Economics categories.
For over three decades, indexing has become increasingly accepted by both institutional and individual investors. Index benchmarks and investment products that track them have been a driving force in the transformation of investment strategy from art to science. Yet investors’ understanding of the sophistication of this burgeoning field has lagged the growing use of index products. Active Index Investing is the definitive guide to how indexes are constructed, how index-based portfolios are managed, and how the world’s most sophisticated investors use index-based strategies to enhance performance, reduce costs and minimize the risks of investing. Active Index Investing provides a comprehensive overview of (1) the investment theories that are the foundation of index based investing, (2) best practices in benchmark construction, (3) the growing world of index-based investment vehicles, (4) cutting-edge index portfolio management techniq ues and (5) the myriad ways investors can and do capture the benefits of indexing. Active Index Investing has a unique format that captures the views and perspectives of over 40 of the investment industry’s leading experts and practitioners, while maintaining a holistic view of this complex subject matter. In addition to the Appendix and Glossary within the book, it features an E-ppendix, available at www.IndexUniverse.com
The Sharpe Ratio
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Author : Steven E. Pav
language : en
Publisher: CRC Press
Release Date : 2021-09-22
The Sharpe Ratio written by Steven E. Pav and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-09-22 with Business & Economics categories.
The Sharpe ratio is the most widely used metric for comparing the performance of financial assets. The Markowitz portfolio is the portfolio with the highest Sharpe ratio. The Sharpe Ratio: Statistics and Applications examines the statistical propertiesof the Sharpe ratio and Markowitz portfolio, both under the simplifying assumption of Gaussian returns and asymptotically. Connections are drawn between the financial measures and classical statistics including Student's t, Hotelling's T^2, and the Hotelling-Lawley trace. The robustness of these statistics to heteroskedasticity, autocorrelation, fat tails, and skew of returns are considered. The construction of portfolios to maximize the Sharpe is expanded from the usual static unconditional model to include subspace constraints, heding out assets, and the use of conditioning information on both expected returns and risk. {book title} is the most comprehensive treatment of the statistical properties of the Sharpe ratio and Markowitz portfolio ever published. Features: * Material on single asset problems, market timing, unconditional and conditional portfolio problems, hedged portfolios. * Inference via both Frequentist and Bayesian paradigms. *A comprehensive treatment of overoptimism and overfitting of trading strategies. *Advice on backtesting strategies. *Dozens of examples and hundreds of exercises for self study. This book is an essential reference for the practicing quant strategist and the researcher alike, and an invaluable textbook for the student. Steven E. Pav holds a PhD in mathematics from Carnegie Mellon University, and degrees in mathematics and ceramic engineering science from Indiana University, Bloomington and Alfred University. He was formerly a quantitative strategist at Convexus Advisors and Cerebellum Capital, and a quantitative analyst at Bank of America. He is the author of a dozen R packages, including those for analyzing the significance of the Sharpe ratio and Markowitz portfolio. He writes about the Sharpe ratio at https://protect-us.mimecast.com/s/BUveCPNMYvt0vnwX8Cj689u?domain=sharperat.io .
Portfolio Risk Analysis
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Author : Gregory Connor
language : en
Publisher: Princeton University Press
Release Date : 2010-03-15
Portfolio Risk Analysis written by Gregory Connor and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-15 with Business & Economics categories.
Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.
A Guide To Starting Your Hedge Fund
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Author : Erik Serrano Berntsen
language : en
Publisher: John Wiley & Sons
Release Date : 2015-03-03
A Guide To Starting Your Hedge Fund written by Erik Serrano Berntsen and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-03-03 with Business & Economics categories.
Successful hedge fund investing begins with well-informed strategy A Guide to Starting Your Hedge Fund is a practical, definitive "how-to" guide, designed to help managers design and launch their own funds, and to help investors select and diligence new funds. The first book to examine the practical aspects of setting up and operating funds with a focus on energy commodity markets, this book scrutinises the due diligence process and comprehensively reviews the opportunities and risks of all energy commodity markets as hedge fund investments. Extensive planning and strategy advice prove invaluable to prospective fund managers and investors alike, and detailed discussion of the markets' constraints help inform procedural decisions. Readers gain insight into practical matters including legal and commercial structures, due diligence, fund raising, operations, and more, allowing them to construct a concrete investment plan before ever touching a penny. Asset managers are looking to energy commodities to provide attractive uncorrelated – if volatile – returns. These high returns, however, are accompanied by high risk. Few investors have experience evaluating these investment opportunities, and few prospective fund managers understand the market fundamentals and their associated risks. This book provides the answers sorely lacking in hedge fund literature, giving investors and fund managers the background they need to make smarter decisions. Understand the markets' structures, opportunities, and risks Develop a comprehensive, well-informed investment strategy Conduct thorough due diligence with a detailed plan Examine the practical aspects of fund raising, legal and tax structure, and more Oil has long been traded by hedge funds, but electricity, the fuels that generate electricity, and the environmental products like emissions allowances and weather derivatives have become the new "hot" investment strategies. These high returns come with higher risk, but A Guide to Starting Your Hedge Fund ensures participants have essential information at their disposal.