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

By R. Grinold, R. Kahn. 2000

180 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/ba24925db369661baf48bcd6837601336c020203

Citations in the corpus

• Intraday Patterns in the Cross-Section of Stock Returns (2010, unknown): “A number of papers extend the above results to incorporate the risk of the trading program, in addition to the expected trading cost, for risk averse traders (e.g., Almgren and Chriss (2000), Grinold and Kahn (2000), Vayanos (2001), Huberman and Stanzl (2005), and Engle and Ferstenberg (2007)).”
• Trading system capability (2014, unknown): “Grinold and Kahn (2000) claim in the Fundamental Law of Active Management (FLAM) that the IR follows the following relationship: IR ¼ IC ffiffiffi b p ; (5) where IC is the information coefficient, the correlation (usually Spearman) between predicted returns and their actual values, and b is the…”
• The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis (2007, unknown): “25 A common benchmark for a " good " trading rule in the finance industry in general is an IR of 0.5 (see, e.g. Grinold and Kahn, 2000).”
• Bio-folio: applying portfolio theory to biodiversity (2004, unknown): “Secondly, portfolio management is concerned with the question of the optimum composition of a portfolio of these assets (cf. for an introduction e.g. Garz et al. 2000; Grinold and Kahn 2000).”