Modern Portfolio Management: Active Long/Short 130/30 Equity Strategies

Overview

In Modern Portfolio Management, Leibowitz and his coauthors offer new strategies for institutional investors who want to manage their portfolios more actively by using 130/30 investment techniques. The 130/30 framework is a natural extension of the basic long-only benchmark-relative strategy that is so widely practiced. This approach seeks to exploit the opportunities that exist between the more efficient long only market and the less efficient short market. This book shows how 130/30 strategies allow asset ...
See more details below
Hardcover
$65.87
BN.com price
(Save 30%)$95.00 List Price
Other sellers (Hardcover)
  • All (9) from $49.95   
  • New (6) from $49.95   
  • Used (3) from $65.74   

Overview

In Modern Portfolio Management, Leibowitz and his coauthors offer new strategies for institutional investors who want to manage their portfolios more actively by using 130/30 investment techniques. The 130/30 framework is a natural extension of the basic long-only benchmark-relative strategy that is so widely practiced. This approach seeks to exploit the opportunities that exist between the more efficient long only market and the less efficient short market. This book shows how 130/30 strategies allow asset owners and asset managers to more fully exploit an active manager's information set. The in-depth ideas presented in this volume also go well beyond the strict confines of 130/30's to shed important new light on other types of active management, including fundamental and quantitative long-only as well as the various forms of more flexible long/short funds. Modern Portfolio Management offers institutional investors many insights and exciting new ways to think about alpha generation.
Read More Show Less

Product Details

  • ISBN-13: 9780470398531
  • Publisher: Wiley
  • Publication date: 1/9/2009
  • Series: Wiley Finance Series , #488
  • Edition number: 1
  • Pages: 511
  • Sales rank: 552,864
  • Product dimensions: 6.40 (w) x 9.10 (h) x 1.90 (d)

Table of Contents

Foreword The High and Low of 130/30 Investing

Introduction Evolution of the Active Extension Concept 1

Pt. 1 Active 130/30 Extensions and Diversified Asset Allocations 9

Ch. 1 Active 130/30 Extensions and Diversified Asset Allocations 11

Pt. 2 The Role of Quantitative Strategies in Active 130/30 Extensions 45

Ch. 2 Active Extension - Portfolio Construction 47

Ch. 3 Managing Active Extension Portfolios 50

Pt. 3 Special Topics Relating to Active 130/30 Extensions 71

Ch. 4 Active Extension Portfolios: An Exploration of the 120/20 Concept 73

Ch. 5 Alpha Ranking Models and Active Extension Strategies 91

Ch. 6 The Tracking Error Gap 103

Ch. 7 Correlation Effects in Active 120/20 Extension Strategies 119

Ch. 8 Alpha Returns and Active Extensions 135

Ch. 9 An Integrated Analysis of Active Extension Strategies 149

Ch. 10 Portfolio Concentration 167

Ch. 11 Generic Shorts in Active 130/30 Extensions 185

Ch. 12 Beta-Based Asset Allocation 197

Ch. 13 Beta Targeting: Tapping into the Appeal of Active 130/30 Extensions 215

Ch. 14 Activity Ratios: Alpha Drivers in Long/Short Funds 237

Ch. 15 Generalizations of the Active 130/30 Extension Concept 257

Pt. 4 Key Journal Articles 267

Ch. 16 On the Optimality of Long/Short Strategies 269

Ch. 17 The Efficiency Gains of Long/Short Investing 297

Ch. 18 Toward More Information-Efficient Portfolios 323

Ch. 19 Allocation Betas 343

Ch. 20 Alpha Hunters and Beta Grazers 365

Ch. 21 Gathering Implicit Alphas in a Beta World: New Questions about Alternative Assets 379

Ch. 22 Optimal Gearing: Not All Long/Short Portfolios Are Efficient 395

Ch. 23 20 Myths about Enhanced Active 120/20 Strategies413

Ch. 24 Active 130/30 Extensions: Alpha Hunting at the Fund Level 429

Ch. 25 Long/Short Extensions: How Much Is Enough? 467

Index 501

Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star

(0)

4 Star

(0)

3 Star

(0)

2 Star

(0)

1 Star

(0)

Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation

Reminder:

  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

 
Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)