Con un tratamiento matemático riguroso y en forma meticulosamente organizada, "Active Portfolio Management" sento las bases de una nueva disciplina en políticas de administración de portfolio activas, cuando aparecio en 1994. Al delinear un proceso innovador para develar señales difusas de retornos de activos, convertirlas en pronósticos refinados, y luego usar dichos pronósticos para construir portfolios, combinando retornos excepcionales con mínimo riesgo – o sea portafolios que consistentemente vencen al mercado – este libro ha ayudado a miles de portfolio managers de todo el mundo.

Chapter 1: introduction

PART ONE: FOUNDATIONS

Chapter 2: Consensus Expected Returns: The Capital Asset Pricing Model

Chapter 3: Risk

Chapter 4: Exceptional Return, Benchmarks, and Value Added

Chapter 5: Residual Risk and Return: The Information Ratio

Chapter 6: The Fundamental Law of Active Management

PART TWO: EXPECTED RETURNS AND VALUATION

Chapter 7: Expected Returns and the Arbitrage Pricing Theory

Chapter 8: Valuation in Theory

Chapter 9: Valuation in Practice

PART THREE: INFORMATION PROCESSING

Chapter 10: Forecasting Basics

Chapter 11: Advanced Forecasting

Chapter 12: Information Analysis

Chapter 13: The Information Horizon

PART FOUR: IMPLEMENTATION

Chapter 14: Portfolio Construction

Chapter 15: Long/Short Investing

Chapter 16: Transactions Costs, Turnover, and Trading

Chapter 17: Performance Analysis contents

Chapter 18: Asset Allocation

Chapter 19: Benchmark Timing

Chapter 20: The Historical Record for Active Management

Chapter 21: Open Questions

Chapter 22: Summary

Appendix A: Standard Notation

Appendix B: Glossary

Appendix C: Return and Statistics Basics

INDEX