Customer comments on this selection.
 advance "quant" book - update: 5 stars
Update after 1 month of reading:
(1) intially rated 4 stars, should be 5 stars (Good books are hard to find, language factor is minor)
(2) A serious Quant reader can gain a lot of insights from this book.
(3) Some of the discussions are way better than the other QEPM book(by Chincarini & Kim ). Although, this is half of the thickness.
(4) you need to be good with Linear Algebra. It is so much fun to see the authors use Linear equations to solve almost everything.
Short summary:
(1) Some advanced math background is needed (Linear Algebra mostly)
(2) Modern investment ideas are presented clearly.
(3) "Quant" book
(4) The Full 9 yards coverage from basic CAPM, alpha model, portfolio construction, trading and turnover, to attribution.
(5) the non-native author(s) should get some help on the writing.
This is an advanced book for quantitative analyst. On the surface, it does not require special math skills to read, which is nice. But to fully appreciate the ideas, you still need a lot of math background.
Most explanations are clean and easy to understand, even with the sometimes annoying writing skills.
Coverage of the modern investment ideas are quite comprehensive and to the right depth. Going deeper could risk more than 1000 pages, less will risk being superficial. There are certain areas in the investment industry that is not covered in this book, including automatic trading, pattern recognition, Bayesian based analysis, macro investing strategies, and alternative investment strategies. Lightly mentioned behavior finance.
Overall, still a good book to have.
Very practical book on quant portfolios
I never liked Grinold/kahn's super-dry book, admittedly a classic, so I was really glad to have found this book, which provides a practical in-depth look at the various techniques one could use in constructing and managing portfolios. One of the authors, Sorenson, is well-known in the field but all three authors did a good job putting together a coherent and highly usable volume. I'm halfway through and I can't wait to finish the second half. If you're interested in or practice quantitative portfolio managemetn I highly recommend this book as a practical reference.
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