主动投资组合管理
Active portfolio management
Richard C Grinold、Ronald N. Kahn · 初版 1999 年
5人推荐
6位读者提及
7次提及
“新版 ACTIVE PORTFOLIO MANAGEMENT 延续了第一版确立的卓越标准，并以清晰的新见解为投资专业人士提供助力。”——William E. Jacques，Martingale Asset Management 合伙人兼首席投资官。“ACTIVE PORTFOLIO MANAGEMENT 为投资者提供了一个更好地理解投资经理技能与投资组合风险之间平衡的机会。基本面和量化投资经理都将从研读 Grinold 和 Kahn 编著的这一更新版本中获益。”——Scott Stewart，Fidelity Select Equity ® Discipline 投资经理
Hacker News 上怎么说
正在加载完整评论……
* 《统计学习基础》（Elements of Statistical Learning）- Hastie, Tibshisrani *（要列的机器学习书实在太多了：PRML、All of Stats、Deep Learning 等）* 《主动投资组合管理》（Active Portfolio Management）- Kahn, Grinold * 《思考，快与慢》（Thinking, fast and slow）- 卡尼曼 * 《蛋白质力量》（Protein Power，Eades 夫妇著）/《我们为什么会发胖》（Why we get fat，Taubes 著）* 《我们为什么要睡觉》（Why we sleep，Walker 著）* 《深度工作》（Deep Work）/《优秀到不能被忽视》（So Good They Can't Ignore You，Newport 著）* 《献给……
* Elements of Statistical Learning - Hastie, Tibshisrani * (Lot's of machine learning books to list: PRML, All of Stats, Deep Learning, etc.) * Active Portfolio Management - Kahn, Grinold * Thinking, fast and slow - Kahneman * Protein Power (the Eades') / Why we get fat (Taubes) * Why we sleep (Walker) * Deep Work / So Good They Can't Ignore You (Newport) * Flowers…
……金融就等于 HFT（高频交易）。并不是。算法交易和统计套利（stat arb）很大一部分是投资组合管理，包括挖掘 alpha、构建风险模型等等。圣经级别的书是：http://www.amazon.com/Active-Portfolio-Management-Quantitati...
…finance is the same as HFT. It's not. A big part of algorithmic trading and stat arb is portfolio management, including deriving alpha, building risk models, etc. The bible is: http://www.amazon.com/Active-Portfolio-Management-Quantitati...
如果你想要更“高端顶格”的东西，Grinold 和 Kahn 写的《主动投资组合管理》（Active Portfolio Management）[1] 被公认为圣经，不过你需要具备本科数学的水平。[1] http://www.amazon.com/Active-Portfolio-Management-Quantitati...
If you want something more 'top shelf', Active Portfolio [1] Management by Grinold & Kahn is considered the bible, though you'll need an understanding of undergrad maths. [1] http://www.amazon.com/Active-Portfolio-Management-Quantitati...
……收益率。但总体来说，我建议你采用更量化的多因子方法，别再看那些玄学技术指标了。关于股票策略有一本很好的入门书是 Grinold 和 Khan 写的《主动投资组合管理》（Active Portfolio Management）。我觉得读完那本书会彻底改变你的方法。另外，我会关注市场中性（market neutral）因子策略，而不是你做的单纯做多（long only）价格分析。无意冒犯，但……
…returns instead. But in general, I would advice you to take a more quantitative factor approach and stop looking at black magic technical indicators. A good introductory book on equity strategies is Active Portfolio Management by Grinold and Khan. I think reading that book will change your entire approach. Also, I would focus on market neutral factor strategies instead of your long only price analysis. Not to be harsh, but…
……经验驱动的事业。关键在于获取关于未来的信息并明智地加以利用，而不是死守某种特定的理论或模型。我看到有人提到了 Grinold 和 Khan 的《主动投资组合管理》（Active Portfolio Management），怎么推荐都不为过，它基本上就是一本关于如何有原则地进行量化赚钱的操作指南，在此之上还有很多“实用技巧”，如果能掌握一些真的大有裨益……
…empirical endeavor. It's all about having information about the future and using that in judiciously way and less so about any particular theory or model. I see someone else mentioning Grinold and Khan "Active Portfolio Management", I can't recommend it enough, it's basically a how to for making money quantitatively in a principled way, there are lots of "tips and tricks" that go on top of this and it really helps to have some…
……[我以前的老板当年和斯蒂芬·霍金一起在剑桥读数学，后来创建了第一个（按 AUM 资产管理规模计算也是如今最大的）指数基金电子投资组合管理系统，Grinold 和 Kahn 则名副其实地[1]写就了主动投资组合管理领域的开山鼻祖著作，等等] [1] http://www.amazon.com/Active-Portfolio-Management-Quantitati...
…[my old boss read math cambridge with stephen hawking and created the first and now biggest by AUM electronic portfolio management system for index funds, grinold & kahn literately [1] wrote the book on active portfolio management, etc] [1] http://www.amazon.com/Active-Portfolio-Management-Quantitati...