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Business Management Book Store > Business Management books beginning with A
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Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk |
Author: Richard C. Grinold
Published: 1999-10-26 |
List price: $80.00
Our price: $50.40
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As of: January 06th, 2009 10:39:39 AM
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Customer comments on this selection.
 Good
I read this books about a year aand a half go, and thought at the time it introduced some really good techniques for manaaging a portfolio. One would need a linear algebra and statictical background to fully unserstand it, and access to some expensive software and data bases to implement it.
However, I now think the techniques depend on reasonably stable fincial markets, and after the emerginging crises starting in the summer of 2007, I have decided not to prusue this farther.
One to add to your reading list
I know many have this book and have never read it. Others read this book but never really understand it. However, if you can read it and understand it, it can offer a powerful tool for how to allocate capital. It actually is the basis for most indexing and quantitative methodologies. When applied to fundemental approaches to investment it can be quite powerful.
Sadly, though not enough money managers embrace what this book is trying to say with regards to risk and return.
Practical approach and mathematically rigorous at the same time
Excellent book for whom is looking for a practical approach that at the same time is presented through a rigorous mathematical methodology. The book is absolutely superior over the academic textbooks that usually limit themselves to CAPM and efficient market theory. Grinold and Kahn go much forward and at the same time had managed to clearly and meticulously show the CAPM model, its limitations and the more sophisticated tools developed from it. Beside of showing the active way of managing a portfolio, the serious mathematical presentations through which the different theories such as CAPM are described are very convincing of how difficult it could be to beat the market.
 Theoretical framework with no practical examples.
There is important information in this book but most of us need to see numerical examples to reinforce theoretical concepts. This book really comes up short in this area. It provides some discussion with the formulas/equations it presents but is very incomplete in terms of worked out examples. Yes, including worked out examples might might mean a book three times as long, but the book would then be many, many times more useful to practitioners.
As it currently stands the book can only benefit the super-genius-theoretical types who do not need to see examples to understand OR someone who ALREADY really understands the concepts.
The book rather frequently presents variables or constants without explicitly defining them for the reader (it assumes we know what they mean from the accompanying discussion).
The book gives exercises, but without answers what good are these?
The one thing the book does is make you realize there is a lot you do not know. You can find ideas in portfolio management that exist by reading this book but if you are at all like me you are going to have to look elsewhere for the answers. I have had better luck with Google searches for stuff like Style Analysis.
The book shows how smart the authors are: they know stuff that must of us do not. Unfortunately this is the feeling I get as I read sections of their book. They intend to keep it this way. Bottom line: the book fails to bridge the gap between theory and practice.
This is the seminal text for Quantitative Finance
If you work for one of the top alpha quant shops (Barclays, Goldman, etc.), this text is a the proverbial must read. These are the guys that essentially invented quantitative finance in its modern form, building upon the [only somewhat applicable] concepts of Sharpe and Rosenberg and demonstrating how they can be harnassed to drive alpha. Anybody who has given this text a poor review obviously doesn't work in quantitative finance (chances are they're merely stock-pickers). If you want to understand how to drive alpha and beat the market, this text goes a lot further than explaining the simple concepts of information ratio and tracking error; instead, this book touches on the beauty of multi-factor models and covariance risk management.
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