{"product_id":"active-investment-management-finding-and-harnessing-investment-skill-hardback-9780470858868","title":"Active Investment Management; Finding and Harnessing Investment Skill (Hardback) 9780470858868","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eActive Investment Management\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eFinding and Harnessing Investment Skill\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eCharles Jackson (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780470858868, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 15 July 2003\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e240 pages\u003cbr\u003e25.4 x 17.6 x 1.9 cm, 0.567 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cem\u003e\u003cfont size=\"3\"\u003e\"Good introductory books on investment are hard to find – but Active Investment Management by Jackson falls into that rare category.\" (\u003ci\u003eProfessional Investor\u003c\/i\u003e, May 2004)  \u003cp\u003e\"…analyses investment and business strategies that he (the author) says will shape the future fund management.\" (\u003ci\u003eStanford Business\u003c\/i\u003e, May 2004)   \u003c\/p\u003e\u003c\/font\u003e\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eActive Investment Management looks at where active management has come from, where it is today, what problems it faces and where the answers to these questions are leading it. The book addresses the major issues concerning the key groups within the industry.  \u003cp\u003eCharles Jackson's wonderfully readable book will be essential reading for the practitioner and is broken down into five sections covering the whole spectrum of active investment management:\u003c\/p\u003e \u003cp\u003e* asset classes and products\u003cbr\u003e * balancing risk and return\u003cbr\u003e * active product selection\u003cbr\u003e * the nature of skill\u003cbr\u003e * the price of skill\u003c\/p\u003e \u003cp\u003e.\u003cbr\u003e \u003c\/p\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e\u003cp\u003ePreface xv\u003c\/p\u003e \u003cp\u003eAcknowledgements xix\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART I ASSET CLASSES AND PRODUCTS 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Stocks and Shares 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Three key preconditions 3\u003c\/p\u003e \u003cp\u003e1.1.1 Property rights 3\u003c\/p\u003e \u003cp\u003e1.1.2 Limited liability 4\u003c\/p\u003e \u003cp\u003e1.1.3 Public financial markets 5\u003c\/p\u003e \u003cp\u003e1.2 Market performance 5\u003c\/p\u003e \u003cp\u003e1.2.1 Stock indices and performance measurement 6\u003c\/p\u003e \u003cp\u003e1.2.2 Twentieth century performance 6\u003c\/p\u003e \u003cp\u003e1.3 Active equity management 8\u003c\/p\u003e \u003cp\u003e1.3.1 Dividend valuation models 9\u003c\/p\u003e \u003cp\u003e1.3.2 Growth stocks 10\u003c\/p\u003e \u003cp\u003e1.3.3 Small stocks 10\u003c\/p\u003e \u003cp\u003e1.3.4 Sorting active approaches 10\u003c\/p\u003e \u003cp\u003e1.4 Institutional investors 11\u003c\/p\u003e \u003cp\u003e1.4.1 Life insurance 11\u003c\/p\u003e \u003cp\u003e1.4.2 Pension funds 12\u003c\/p\u003e \u003cp\u003e1.5 Conclusion 12\u003c\/p\u003e \u003cp\u003eEndnotes 13\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Investment Products 15\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Traditional products 15\u003c\/p\u003e \u003cp\u003e2.1.1 Closed-end products 15\u003c\/p\u003e \u003cp\u003e2.1.2 Open-ended products 17\u003c\/p\u003e \u003cp\u003e2.1.3 Index products 19\u003c\/p\u003e \u003cp\u003e2.2 Alternative products 21\u003c\/p\u003e \u003cp\u003e2.2.1 Illiquid assets 21\u003c\/p\u003e \u003cp\u003e2.2.2 Liquid assets 22\u003c\/p\u003e \u003cp\u003e2.2.3 Offshore products 23\u003c\/p\u003e \u003cp\u003e2.3 Active overlays 24\u003c\/p\u003e \u003cp\u003e2.4 Conclusion 26\u003c\/p\u003e \u003cp\u003eEndnotes 26\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Money 29\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Three defining properties 29\u003c\/p\u003e \u003cp\u003e3.1.1 Purchasing power 29\u003c\/p\u003e \u003cp\u003e3.1.2 Return 29\u003c\/p\u003e \u003cp\u003e3.1.3 Risk-free asset 30\u003c\/p\u003e \u003cp\u003e3.2 Early forms of money 31\u003c\/p\u003e \u003cp\u003e3.2.1 Gold 31\u003c\/p\u003e \u003cp\u003e3.2.2 Deposits 32\u003c\/p\u003e \u003cp\u003e3.3 Modern forms of money 33\u003c\/p\u003e \u003cp\u003e3.3.1 Retail money funds 33\u003c\/p\u003e \u003cp\u003e3.3.2 Institutional money funds 33\u003c\/p\u003e \u003cp\u003e3.3.3 Eurodollars 34\u003c\/p\u003e \u003cp\u003e3.4 Active cash management 35\u003c\/p\u003e \u003cp\u003e3.4.1 Credit risk 35\u003c\/p\u003e \u003cp\u003e3.4.2 Maturity risk 36\u003c\/p\u003e \u003cp\u003e3.5 Conclusion 36\u003c\/p\u003e \u003cp\u003eEndnotes 37\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Fixed Interest 39\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 History 39\u003c\/p\u003e \u003cp\u003e4.1.1 UK to 1945 39\u003c\/p\u003e \u003cp\u003e4.1.2 USA to 1945 41\u003c\/p\u003e \u003cp\u003e4.1.3 From 1945 41\u003c\/p\u003e \u003cp\u003e4.1.4 Performance experience 43\u003c\/p\u003e \u003cp\u003e4.2 Active maturity management 45\u003c\/p\u003e \u003cp\u003e4.2.1 Duration 45\u003c\/p\u003e \u003cp\u003e4.2.2 Benchmarks 46\u003c\/p\u003e \u003cp\u003e4.2.3 Attribution 46\u003c\/p\u003e \u003cp\u003e4.3 Active spread management 46\u003c\/p\u003e \u003cp\u003e4.3.1 Mortgages 47\u003c\/p\u003e \u003cp\u003e4.3.2 Index-linked bonds 48\u003c\/p\u003e \u003cp\u003e4.3.3 Junk bonds and emerging debt 48\u003c\/p\u003e \u003cp\u003e4.3.4 Swaps 49\u003c\/p\u003e \u003cp\u003e4.4 Market efficiency 50\u003c\/p\u003e \u003cp\u003e4.4.1 UK tax arbitrage 50\u003c\/p\u003e \u003cp\u003e4.4.2 The US Treasury market 51\u003c\/p\u003e \u003cp\u003e4.4.3 Salomon episode 53\u003c\/p\u003e \u003cp\u003e4.5 Conclusion 54\u003c\/p\u003e \u003cp\u003eEndnotes 54\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Foreign Assets 57\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 History 57\u003c\/p\u003e \u003cp\u003e5.1.1 To 1900 57\u003c\/p\u003e \u003cp\u003e5.1.2 Foreign bonds from 1900 58\u003c\/p\u003e \u003cp\u003e5.1.3 Foreign returns from 1900 59\u003c\/p\u003e \u003cp\u003e5.2 Global investors 60\u003c\/p\u003e \u003cp\u003e5.2.1 Modern portfolio theory 60\u003c\/p\u003e \u003cp\u003e5.2.2 US overseas equity investors 60\u003c\/p\u003e \u003cp\u003e5.2.3 US overseas bond investors 61\u003c\/p\u003e \u003cp\u003e5.3 Government policy 61\u003c\/p\u003e \u003cp\u003e5.3.1 Tax 61\u003c\/p\u003e \u003cp\u003e5.3.2 UK exchange control 62\u003c\/p\u003e \u003cp\u003e5.4 Active currency management 63\u003c\/p\u003e \u003cp\u003e5.4.1 Theory and practice 63\u003c\/p\u003e \u003cp\u003e5.4.2 Emerging high-yield strategies 64\u003c\/p\u003e \u003cp\u003e5.4.3 European convergence strategies 65\u003c\/p\u003e \u003cp\u003e5.4.4 Hedged overseas bonds 66\u003c\/p\u003e \u003cp\u003e5.5 Conclusion 68\u003c\/p\u003e \u003cp\u003eEndnotes 69\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART II BALANCING RISK AND RETURN 71\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Measuring Risk 73\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 The chance of misfortune 73\u003c\/p\u003e \u003cp\u003e6.1.1 Fixed odds 73\u003c\/p\u003e \u003cp\u003e6.1.2 Uncertain odds 73\u003c\/p\u003e \u003cp\u003e6.1.3 Historical prices 74\u003c\/p\u003e \u003cp\u003e6.1.4 Measuring risk from historical prices 75\u003c\/p\u003e \u003cp\u003e6.2 A simplifying proposition 75\u003c\/p\u003e \u003cp\u003e6.2.1 The chance curve 76\u003c\/p\u003e \u003cp\u003e6.2.2 Interval and variance 78\u003c\/p\u003e \u003cp\u003e6.2.3 Random walk hypothesis 79\u003c\/p\u003e \u003cp\u003e6.3 The case against active management 81\u003c\/p\u003e \u003cp\u003e6.3.1 Testing the weak form 82\u003c\/p\u003e \u003cp\u003e6.3.2 Testing the semi-strong form 82\u003c\/p\u003e \u003cp\u003e6.3.3 Testing the strong form 82\u003c\/p\u003e \u003cp\u003e6.4 Guarantees 83\u003c\/p\u003e \u003cp\u003e6.5 Conclusion 84\u003c\/p\u003e \u003cp\u003eEndnotes 84\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Investor Objectives 85\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Selected investor instructions 85\u003c\/p\u003e \u003cp\u003e7.1.1 UK pensions funds 85\u003c\/p\u003e \u003cp\u003e7.1.2 Individual investors 86\u003c\/p\u003e \u003cp\u003e7.2 Three essentials 87\u003c\/p\u003e \u003cp\u003e7.2.1 Risk-free asset 87\u003c\/p\u003e \u003cp\u003e7.2.2 Liabilities 87\u003c\/p\u003e \u003cp\u003e7.2.3 Attitude to risk 87\u003c\/p\u003e \u003cp\u003e7.3 Trade-off between risk and return 88\u003c\/p\u003e \u003cp\u003e7.3.1 Utility theory 88\u003c\/p\u003e \u003cp\u003e7.3.2 Varying appetite for risk 89\u003c\/p\u003e \u003cp\u003e7.3.3 Constant risk aversion 90\u003c\/p\u003e \u003cp\u003e7.3.4 Modelling the risk-return trade-off 90\u003c\/p\u003e \u003cp\u003e7.4 Active mandate design 91\u003c\/p\u003e \u003cp\u003e7.5 Conclusion 92\u003c\/p\u003e \u003cp\u003eEndnotes 92\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Setting Policy 93\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Policy uniqueness 93\u003c\/p\u003e \u003cp\u003e8.1.1 Policy review 93\u003c\/p\u003e \u003cp\u003e8.1.2 Policy variation 94\u003c\/p\u003e \u003cp\u003e8.2 Liability matching 95\u003c\/p\u003e \u003cp\u003e8.2.1 The liability matching condition 95\u003c\/p\u003e \u003cp\u003e8.2.2 Historical evidence 96\u003c\/p\u003e \u003cp\u003e8.3 Pension fund cash 96\u003c\/p\u003e \u003cp\u003e8.4 Active asset allocation 98\u003c\/p\u003e \u003cp\u003e8.5 Conclusion 99\u003c\/p\u003e \u003cp\u003eEndnotes 99\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART III ACTIVE PRODUCT SELECTION 101\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Finding Skill 103\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Evidence of skill 104\u003c\/p\u003e \u003cp\u003e9.1.1 People 104\u003c\/p\u003e \u003cp\u003e9.1.2 Past performance 104\u003c\/p\u003e \u003cp\u003e9.2 Measures of skill 105\u003c\/p\u003e \u003cp\u003e9.2.1 Confidence 105\u003c\/p\u003e \u003cp\u003e9.2.2 The information ratio 106\u003c\/p\u003e \u003cp\u003e9.2.3 Active risk 107\u003c\/p\u003e \u003cp\u003e9.3 Elusiveness of skill 107\u003c\/p\u003e \u003cp\u003e9.3.1 Manager tenure 107\u003c\/p\u003e \u003cp\u003e9.3.2 Benchmark ambiguity 108\u003c\/p\u003e \u003cp\u003e9.3.3 Experience and age 109\u003c\/p\u003e \u003cp\u003e9.4 Advisors and skill 110\u003c\/p\u003e \u003cp\u003e9.4.1 Traditional products 110\u003c\/p\u003e \u003cp\u003e9.4.2 Hedge funds 111\u003c\/p\u003e \u003cp\u003e9.5 Conclusion 112\u003c\/p\u003e \u003cp\u003eEndnotes 113\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Using Style 115\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Active product weights 115\u003c\/p\u003e \u003cp\u003e10.1.1 The MPT solution 115\u003c\/p\u003e \u003cp\u003e10.1.2 Accuracy 116\u003c\/p\u003e \u003cp\u003e10.1.3 The industry solution 116\u003c\/p\u003e \u003cp\u003e10.2 Style definition 116\u003c\/p\u003e \u003cp\u003e10.2.1 Asset classes 117\u003c\/p\u003e \u003cp\u003e10.2.2 Specialised categories 117\u003c\/p\u003e \u003cp\u003e10.2.3 Universe medians 117\u003c\/p\u003e \u003cp\u003e10.3 Portfolio construction 118\u003c\/p\u003e \u003cp\u003e10.3.1 Specialist portfolios 118\u003c\/p\u003e \u003cp\u003e10.3.2 Balanced portfolios 119\u003c\/p\u003e \u003cp\u003e10.4 Freestanding overlays 119\u003c\/p\u003e \u003cp\u003e10.5 Conclusion 121\u003c\/p\u003e \u003cp\u003eEndnotes 122\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART IV THE NATURE OF SKILL 123\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Firms and Professionals 125\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Exceptional talents 125\u003c\/p\u003e \u003cp\u003e11.1.1 Benjamin Graham 125\u003c\/p\u003e \u003cp\u003e11.1.2 Phillip Fisher 126\u003c\/p\u003e \u003cp\u003e11.1.3 Warren Buffett 126\u003c\/p\u003e \u003cp\u003e11.2 Public and private information 127\u003c\/p\u003e \u003cp\u003e11.2.1 Graham and Fisher 128\u003c\/p\u003e \u003cp\u003e11.2.2 Market anomalies 128\u003c\/p\u003e \u003cp\u003e11.2.3 Size and value effects 128\u003c\/p\u003e \u003cp\u003e11.3 Intuitive and systematic approaches 129\u003c\/p\u003e \u003cp\u003e11.3.1 Keynes’s metaphor 130\u003c\/p\u003e \u003cp\u003e11.3.2 Information and strategy 131\u003c\/p\u003e \u003cp\u003e11.3.3 Demonstrating skill 133\u003c\/p\u003e \u003cp\u003e11.3.4 Portfolio manager autonomy 133\u003c\/p\u003e \u003cp\u003e11.4 Fault lines 134\u003c\/p\u003e \u003cp\u003e11.4.1 Institutional processes 134\u003c\/p\u003e \u003cp\u003e11.4.2 LTCM 135\u003c\/p\u003e \u003cp\u003e11.4.3 MAM fixed interest 136\u003c\/p\u003e \u003cp\u003e11.5 Conclusion 137\u003c\/p\u003e \u003cp\u003eEndnotes 137\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Active Overlay Risk 139\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 LTCM 139\u003c\/p\u003e \u003cp\u003e12.2 Active return distributions 140\u003c\/p\u003e \u003cp\u003e12.2.1 Active strategies 140\u003c\/p\u003e \u003cp\u003e12.2.2 Trading rules 141\u003c\/p\u003e \u003cp\u003e12.3 Different processes 141\u003c\/p\u003e \u003cp\u003e12.3.1 Systematic 142\u003c\/p\u003e \u003cp\u003e12.3.2 Combined 142\u003c\/p\u003e \u003cp\u003e12.3.3 Intuitive 143\u003c\/p\u003e \u003cp\u003e12.4 Conclusion 143\u003c\/p\u003e \u003cp\u003eEndnotes 144\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART V THE PRICE OF SKILL 145\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Fees 147\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 Types of fee 147\u003c\/p\u003e \u003cp\u003e13.1.1 Flat fees 147\u003c\/p\u003e \u003cp\u003e13.1.2 Performance fees 148\u003c\/p\u003e \u003cp\u003e13.1.3 Transaction charges 150\u003c\/p\u003e \u003cp\u003e13.2 Demand and skill 151\u003c\/p\u003e \u003cp\u003e13.2.1 The evidence 151\u003c\/p\u003e \u003cp\u003e13.2.2 Skill-driven demand 152\u003c\/p\u003e \u003cp\u003e13.3 Fee rates and skill 153\u003c\/p\u003e \u003cp\u003e13.3.1 Revenue maximising 153\u003c\/p\u003e \u003cp\u003e13.3.2 Paying for information 154\u003c\/p\u003e \u003cp\u003e13.4 Fee-setting behaviour 155\u003c\/p\u003e \u003cp\u003e13.4.1 Traditional products 155\u003c\/p\u003e \u003cp\u003e13.4.2 Funds of hedge funds 155\u003c\/p\u003e \u003cp\u003e13.4.3 Hedge funds 156\u003c\/p\u003e \u003cp\u003e13.5 Conclusion 158\u003c\/p\u003e \u003cp\u003eEndnotes 158\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 Pay 159\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Pay and skill 159\u003c\/p\u003e \u003cp\u003e14.1.1 Before hedge funds 160\u003c\/p\u003e \u003cp\u003e14.1.2 After hedge funds 160\u003c\/p\u003e \u003cp\u003e14.1.3 Hedge fund self-investing 162\u003c\/p\u003e \u003cp\u003e14.2 Dividing the spoils 162\u003c\/p\u003e \u003cp\u003e14.2.1 Prima donnas 163\u003c\/p\u003e \u003cp\u003e14.2.2 Threshold skill 163\u003c\/p\u003e \u003cp\u003e14.2.3 Position limits 165\u003c\/p\u003e \u003cp\u003e14.3 Valuing investment management firms 165\u003c\/p\u003e \u003cp\u003e14.3.1 Traditional firms 165\u003c\/p\u003e \u003cp\u003e14.3.2 Hedge fund firms 167\u003c\/p\u003e \u003cp\u003e14.3.3 Fund of hedge fund firms 167\u003c\/p\u003e \u003cp\u003e14.4 Conclusion 168\u003c\/p\u003e \u003cp\u003eEndnotes 168\u003c\/p\u003e \u003cp\u003eAfterword 169\u003c\/p\u003e \u003cp\u003eTechnical Appendix 175\u003c\/p\u003e \u003cp\u003e\u003cb\u003eA.1 Basic modelling tools 175\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA.1.1 Calculus 175\u003c\/p\u003e \u003cp\u003eA.1.2 Natural logarithms 176\u003c\/p\u003e \u003cp\u003eA.1.3 Normal distribution 177\u003c\/p\u003e \u003cp\u003eA.1.4 Central Limit Theorem 177\u003c\/p\u003e \u003cp\u003eA.1.5 Higher moments 177\u003c\/p\u003e \u003cp\u003e\u003cb\u003eA.2 Investment algebra 178\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA.2.1 Time value of money 178\u003c\/p\u003e \u003cp\u003eA.2.2 Time versus money-weighted performance measurement 178\u003c\/p\u003e \u003cp\u003eA.2.3 Bond prices 179\u003c\/p\u003e \u003cp\u003eA.2.4 On and off the run 179\u003c\/p\u003e \u003cp\u003eA.2.5 Seventeenth century Dutch annuities 180\u003c\/p\u003e \u003cp\u003eA.2.6 Duration 180\u003c\/p\u003e \u003cp\u003eA.2.7 Bond attribution 181\u003c\/p\u003e \u003cp\u003eA.2.8 Constant growth model 181\u003c\/p\u003e \u003cp\u003eA.2.9 Purchasing Power Parity 182\u003c\/p\u003e \u003cp\u003eA.2.10 Covered interest arbitrage 182\u003c\/p\u003e \u003cp\u003e\u003cb\u003eA.3 Time series analysis 182\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA.3.1 Standard approach 182\u003c\/p\u003e \u003cp\u003eA.3.2 Confidence interval 183\u003c\/p\u003e \u003cp\u003e\u003cb\u003eA.4 Utility theory 184\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA.4.1 Certainty equivalent 184\u003c\/p\u003e \u003cp\u003eA.4.2 Expected utility 184\u003c\/p\u003e \u003cp\u003eA.4.3 Risk adjustment 184\u003c\/p\u003e \u003cp\u003eA.4.4 Abnormal distribution 185\u003c\/p\u003e \u003cp\u003eA.4.5 Constant relative risk aversion 185\u003c\/p\u003e \u003cp\u003e\u003cb\u003eA.5 Mean variance analysis 186\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA.5.1 Correlation 186\u003c\/p\u003e \u003cp\u003eA.5.2 Matrix algebra 186\u003c\/p\u003e \u003cp\u003eA.5.3 Utility maximisation 186\u003c\/p\u003e \u003cp\u003eA.5.4 Maximising the mean variance ratio 187\u003c\/p\u003e \u003cp\u003eA.5.5 Optimal investment in risky assets 187\u003c\/p\u003e \u003cp\u003eA.5.6 Two asset optimisation 187\u003c\/p\u003e \u003cp\u003eA.5.7 Liability matching condition 188\u003c\/p\u003e \u003cp\u003eA.5.8 Portfolio eligibility 188\u003c\/p\u003e \u003cp\u003eA.5.9 Information ratio 189\u003c\/p\u003e \u003cp\u003e\u003cb\u003eA.6 Industry economics 190\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA.6.1 Demand for freestanding overlays 190\u003c\/p\u003e \u003cp\u003eA.6.2 Demand for products with style 191\u003c\/p\u003e \u003cp\u003eA.6.3 Revenue maximising fee 192\u003c\/p\u003e \u003cp\u003eA.6.4 Combining overlays 193\u003c\/p\u003e \u003cp\u003eA.6.5 Information costs 194\u003c\/p\u003e \u003cp\u003eA.6.6 Relaxing the independence assumption 194\u003c\/p\u003e \u003cp\u003eA.6.7 Self investing 195\u003c\/p\u003e \u003cp\u003eA.6.8 Running a hedge fund 195\u003c\/p\u003e \u003cp\u003eA.6.9 Hedge fund style 196\u003c\/p\u003e \u003cp\u003eA.6.10 Trading limits 196\u003c\/p\u003e \u003cp\u003eA.6.11 Trader experience 197\u003c\/p\u003e \u003cp\u003eA.6.12 Tenure and investor confidence 197\u003c\/p\u003e \u003cp\u003eEndnotes 198\u003c\/p\u003e \u003cp\u003eIndex 199\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance \u0026amp; accounting\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Finance%20\u0026amp;%20accounting%20%5BKF%5D%22\"\u003eKF\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand 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