Active portfolio management : a quantitative approach for providing superior returns and controlling risk

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Mathematically rigorous and meticulously organized, this influential work broke new ground for investment managers in 1994 by outlining an innovative process to uncover raw signals of asset returns, refine them into forecasts, and construct portfolios that consistently outperform the market while minimizing risk. The Second Edition elevates this foundation further, detailing the application of economics, econometrics, and operations research to practical investment challenges and identifying superior profit opportunities. It presents an active management framework that starts with a benchmark portfolio, defining exceptional returns in relation to that benchmark. This edition expands on the active management process to include asset allocation, long/short investing, information horizons, and other contemporary topics. It revisits discussions from the first edition, offering fresh insights on pressing issues such as risk, dispersion, market impact, and performance analysis, supported by empirical evidence. The result is a comprehensive set of strategic concepts and rules of thumb designed to enhance the process and profitability of active investment management.