Active portfolio management
by Richard C Grinold, Ronald N. Kahn · first published 1999
83% recommend17% critical
Why HN recommends it
Standard reference on quantitative portfolio management, covering deriving alpha and building risk models. It serves as a how-to for equity strategy work and suits those with undergraduate-level math.
Summarised by Claude from recommending comments
"This new edition of ACTIVE PORTFOLIO MANAGEMENT continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals." - William E. Jacques Partner and Chief Investment Officer Martingale Asset Management "ACTIVE PORTFOLIO MANAGEMENT offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn." -Scott Stewart Portfolio Manager, Fidelity Select Equity ® Discipline
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* 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…
on “Ask HN: Best books you read in the past decade?” ↗…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...
on “Good books for hackers interested in quant finance?” ↗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...
on “Top three beginner investing books ranked by amount of math” ↗…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…
on “The Most Popular Stock Indicator Performs Worse Than Flipping a Coin” ↗…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…
on “Most Important Papers for Quantitative Traders” ↗…[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...
on “Why Silicon Valley is not the second coming of the Gilded Age” ↗…https://www.amazon.com/s/ref=nb_sb_noss_1?url=search-alias%3... 3 - https://www.amazon.com/Active-Equity-Management-Xinfeng-Zhou... And I didn't personally like this one so much but its quite popular among the more "academic" types 4 - https://www.amazon.com/Active-Portfolio-Management-Quantitat...
on “Ask HN: Anyone making money through algorithmic trading?” ↗