Modern Portfolio Management: Active Long/Short 130/30 Equity StrategiesISBN: 978-0-470-39853-1
Hardcover
511 pages
January 2009
 This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
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Foreword The High and Low of 130/30 Investing xi
Structure of the Book xxiii
Acknowledgments xxix
INTRODUCTION Evolution of the Active Extension Concept 1
PART ONE Active 130/30 Extensions and Diversified Asset Allocations 9
CHAPTER 1 Active 130/30 Extensions and Diversified Asset Allocations 11
PART TWO The Role of Quantitative Strategies in Active 130/30 Extensions 45
CHAPTER 2 Active Extension—Portfolio Construction 47
CHAPTER 3 Managing Active Extension Portfolios 59
PART THREE Special Topics Relating to Active 130/30 Extensions 71
CHAPTER 4 Active Extension Portfolios: An Exploration of the 120/20 Concept 73
CHAPTER 5 Alpha Ranking Models and Active Extension Strategies 91
CHAPTER 6 The Tracking Error Gap 103
CHAPTER 7 Correlation Effects in Active 120/20 Extension Strategies 119
CHAPTER 8 Alpha Returns and Active Extensions 135
CHAPTER 9 An Integrated Analysis of Active Extension Strategies 149
CHAPTER 10 Portfolio Concentration 167
CHAPTER 11 Generic Shorts in Active 130/30 Extensions 185
CHAPTER 12 Beta-Based Asset Allocation 197
CHAPTER 13 Beta Targeting: Tapping into the Appeal of Active 130/30 Extensions 215
CHAPTER 14 Activity Ratios: Alpha Drivers in Long/Short Funds 237
CHAPTER 15 Generalizations of the Active 130/30 Extension Concept 257
PART FOUR Key Journal Articles 267
CHAPTER 16 On the Optimality of Long/Short Strategies 269
CHAPTER 17 The Efficiency Gains of Long/Short Investing 297
CHAPTER 18 Toward More Information-Efficient Portfolios 323
CHAPTER 19 Allocation Betas 343
CHAPTER 20 Alpha Hunters and Beta Grazers 365
CHAPTER 21 Gathering Implicit Alphas in a Beta World: New Questions about Alternative Assets 379
CHAPTER 22 Optimal Gearing: Not All Long/Short Portfolios Are Efficient 395
CHAPTER 23 20 Myths about Enhanced Active 120/20 Strategies 413
CHAPTER 24 Active 130/30 Extensions: Alpha Hunting at the Fund Level 429
CHAPTER 25 Long/Short Extensions: How Much Is Enough? 467
About the Authors 497
Index 501
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