Active Portfolio Management Brandeis University（积极组合管理布兰代斯大学）.pdfVIP

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 24 Chapter 15 Benchmark Timing 29 Chapter 16 Summary 30 1 Notes: Active Portfolio Management By Zhipeng Yan Active Portfolio Management By Richard C. Grinold and Ronald N. Kahn Part I Foundations Chapter 1 Introduction I. A process for active investment management The process includes researching ideas, forecasting exceptional returns, constructing and implementing portfolios, and observing and refining their performance. II. Strategic overview 1. Separating the risk forecasting problem from the return forecasting problem. 2. Investors care about active risk and active return (relative to a benchmark). 3. The relative perspective will focus us on the res