ML Leibowitz
Modern Portfolio Management – Active Long/Short 130/30 Equity Strategies
Active Long/Short 130/30 Equity Strategies
Gebonden Engels 2009 9780470398531
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
Active 130/30 Extensions is the newest wave of disciplined investment strategies that involves asymmetric decision–making on long/short portfolio decisions, concentrated investment risk–taking in contrast to diversification, systematic portfolio risk management, and flexibility in portfolio design. This strategy is the building block for a number of 130/30 and 120/20 investment strategies offered to institutional and sophisticated high net worth individual investors who want to manage their portfolios actively and aggressively to outperform the market.
Specificaties
ISBN13:9780470398531
Taal:Engels
Bindwijze:gebonden
Aantal pagina's:512
Uitgever:John Wiley & Sons
Hoofdrubriek:Financieel management, Financieel management
Serie:Wiley Finance
Lezersrecensies
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Inhoudsopgave
Foreword: The High and Low of 130/30 Investing.
<p>Structure of the Book.</p>
<p>Acknowledgments.</p>
<p>INTRODUCTION: Evolution of the Active Extension Concept.</p>
<p>PART ONE: Active 130/30 Extensions and Diversified Asset Allocations.</p>
<p>CHAPTER 1: Active 130/30 Extensions and Diversified Asset Allocations.</p>
<p>PART TWO: The Role of Quantitative Strategies in Active 130/30 Extensions.</p>
<p>CHAPTER 2: Active Extension Portfolio Construction.</p>
<p>CHAPTER 3: Managing Active Extension Portfolios.</p>
<p>PART THREE: Special Topics Relating to Active 130/30 Extensions.</p>
<p>CHAPTER 4: Active Extension Portfolios: An Exploration of the 120/20 Concept.</p>
<p>CHAPTER 5: Alpha Ranking Models and Active Extension Strategies.</p>
<p>CHAPTER 6: The Tracking Error Gap.</p>
<p>CHAPTER 7: Correlation Effects in Active 120/20 Extension Strategies.</p>
<p>CHAPTER 8: Alpha Returns and Active Extensions.</p>
<p>CHAPTER 9: An Integrated Analysis of Active Extension Strategies.</p>
<p>CHAPTER 10: Portfolio Concentration.</p>
<p>CHAPTER 11: Generic Shorts in Active 130/30 Extensions.</p>
<p>CHAPTER 12: Beta–Based Asset Allocation.</p>
<p>CHAPTER 13: Beta Targeting: Tapping into the Appeal of Active 130/30 Extensions.</p>
<p>CHAPTER 14: Activity Ratios: Alpha Drivers in Long/Short Funds.</p>
<p>CHAPTER 15: Generalizations of the Active 130/30 Extension Concept.</p>
<p>PART FOUR: Key Journal Articles.</p>
<p>CHAPTER 16: On the Optimality of Long/Short Strategies.</p>
<p>CHAPTER 17: The Efficiency Gains of Long/Short Investing.</p>
<p>CHAPTER 18: Toward More Information–Efficient Portfolios.</p>
<p>CHAPTER 19: Allocation Betas.</p>
<p>CHAPTER 20: Alpha Hunters and Beta Grazers.</p>
<p>CHAPTER 21: Gathering Implicit Alphas in a Beta World: New Questions about Alternative Assets.</p>
<p>CHAPTER 22: Optimal Gearing: Not All Long/Short Portfolios Are Efficient.</p>
<p>CHAPTER 23: 20 Myths about Enhanced Active 120/20 Strategies.</p>
<p>CHAPTER 24: Active 130/30 Extensions: Alpha Hunting at the Fund Level.</p>
<p>CHAPTER 25: Long/Short Extensions: How Much Is Enough?</p>
<p>About the Authors.</p>
<p>Index.</p>
<p>Structure of the Book.</p>
<p>Acknowledgments.</p>
<p>INTRODUCTION: Evolution of the Active Extension Concept.</p>
<p>PART ONE: Active 130/30 Extensions and Diversified Asset Allocations.</p>
<p>CHAPTER 1: Active 130/30 Extensions and Diversified Asset Allocations.</p>
<p>PART TWO: The Role of Quantitative Strategies in Active 130/30 Extensions.</p>
<p>CHAPTER 2: Active Extension Portfolio Construction.</p>
<p>CHAPTER 3: Managing Active Extension Portfolios.</p>
<p>PART THREE: Special Topics Relating to Active 130/30 Extensions.</p>
<p>CHAPTER 4: Active Extension Portfolios: An Exploration of the 120/20 Concept.</p>
<p>CHAPTER 5: Alpha Ranking Models and Active Extension Strategies.</p>
<p>CHAPTER 6: The Tracking Error Gap.</p>
<p>CHAPTER 7: Correlation Effects in Active 120/20 Extension Strategies.</p>
<p>CHAPTER 8: Alpha Returns and Active Extensions.</p>
<p>CHAPTER 9: An Integrated Analysis of Active Extension Strategies.</p>
<p>CHAPTER 10: Portfolio Concentration.</p>
<p>CHAPTER 11: Generic Shorts in Active 130/30 Extensions.</p>
<p>CHAPTER 12: Beta–Based Asset Allocation.</p>
<p>CHAPTER 13: Beta Targeting: Tapping into the Appeal of Active 130/30 Extensions.</p>
<p>CHAPTER 14: Activity Ratios: Alpha Drivers in Long/Short Funds.</p>
<p>CHAPTER 15: Generalizations of the Active 130/30 Extension Concept.</p>
<p>PART FOUR: Key Journal Articles.</p>
<p>CHAPTER 16: On the Optimality of Long/Short Strategies.</p>
<p>CHAPTER 17: The Efficiency Gains of Long/Short Investing.</p>
<p>CHAPTER 18: Toward More Information–Efficient Portfolios.</p>
<p>CHAPTER 19: Allocation Betas.</p>
<p>CHAPTER 20: Alpha Hunters and Beta Grazers.</p>
<p>CHAPTER 21: Gathering Implicit Alphas in a Beta World: New Questions about Alternative Assets.</p>
<p>CHAPTER 22: Optimal Gearing: Not All Long/Short Portfolios Are Efficient.</p>
<p>CHAPTER 23: 20 Myths about Enhanced Active 120/20 Strategies.</p>
<p>CHAPTER 24: Active 130/30 Extensions: Alpha Hunting at the Fund Level.</p>
<p>CHAPTER 25: Long/Short Extensions: How Much Is Enough?</p>
<p>About the Authors.</p>
<p>Index.</p>
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