Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk
by
Richard Grinold, Ronald Kahn
Description: Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk presents a methodical framework for managing investments using quantitative techniques aimed at enhancing returns while managing risk. The book covers both foundational concepts and practical applications
ISBN: 0070248826
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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...