The Present: Current Portfolio Risk Analysis 多因子风险模型可以用来分析当前 portfolio 的风险。通过将风险进行 decomposition,我们可以确定当前 portfolio 的风险来源。无论是 passive management 还是 active management,风险分析都十分重要。对于 passive manager 而言,风险分析可以告诉它当前的 portfolio 相较于 benchmar...
相较于现代资产组合理论(Modern Portfolio Theory),量化主动投资管理(Quantitative Active Management)的创新是将收益预测问题(Return Prediction)和风险预测问题(Risk Prediction)分开看待。在风险预测问题上,BARRA 建立了相关的体系,我们会在后面介绍它。与现代资产组合理论关注于 Total Risk、Toral Return 不同,我们主要关...
今天我们进入《Active Portfolio Management》第二章的学习。 Consensus Expected Returns: The Capital Asset Pricing Model Introduction 明明Capital Asset Pricing Model(CAPM)的结论是我们无法通过主动投资来获取超额收益,那么为什么要以 CAPM 作为学习的开端?第一个原因是我们应该从易到难进行学习,第二个原因是很多支持...
出版年:1999-10-26 页数:596 定价:USD 85.00 装帧:Hardcover ISBN:9780070248823 豆瓣评分 8.4 62人评价 5星 50.0% 4星 29.0% 3星 19.4% 2星 1.6% 1星 0.0% 评价: 写笔记 写书评 加入购书单 分享到 推荐 内容简介· ··· "This new edition of Active Portfolio Management continues the standard...
学术界处理此问题的分支称为 financial economics(金融经济学), 其中很大一部分属于modern portfolio theory(现代投资组合理论)。 著名的理论/假说之一是EMH(efficient market hypothesis,即有效市场假说):即市场本身是有效的(所有信息都被反映在价格之中了)
Management of total risk and return • Active management starts when the manager’s forecasts differ from the consensus. • The forecast of expected excess return for portfolio p can be expressed as: Where, f p is the forecast of expected excess return for the portfolio. These forecasts...
Active_Port-folio_Management积极的投资组合管理 课件.pdf,Active Portfolio Management Lectures 1 Richard R. Lindsey Portfolio Choice Individual: 1. Strictly prefers more to less (strictly increasing utility function) 2. Risk averse w initial wealth 0 r ri
Active Portfolio Management.PPT,Active Portfolio Management Theory of Portfolio Management- Market Timing Market Timing v.s Buy and Hold Treynor-Black Model Steps of Active Portfolio Management Advantages of TB model TB Portfolio Selection Illustration o
Active portfolio management is an ongoing process, both in terms of determining the optimal business mix and following through with the resources and engagement needed to bring it to fruition. It takes insight and effort to create substantial value for shareholde...
This reading covers a number of key concepts and principles associated with active portfolio management. Active management is based on the mathematics and principles of risk and return from basic me…