Richard Grinold - Academia.edu (original) (raw)

Papers by Richard Grinold

Operations Research, Dec 1, 1968

Unclassified 15«. DECLASSIFI CATION/DOWN GRADING SCHEDULE 16. DISTRIBUTION STATEMENT (of Ihle Rep... more Unclassified 15«. DECLASSIFI CATION/DOWN GRADING SCHEDULE 16. DISTRIBUTION STATEMENT (of Ihle Report) Approved for public release; distribution unlimited. 17. DISTRIBUTION STATEMENT (of the »betract entered In h DLK 30, If different from Report) 18. SUPPLEMENTARY NOTES 19. KEY WORDS (Continue on reverae aide It necaaaary mnd Identity by block number) Manpower Planning Modelling Longitudinal Flow 20. ABSTRACT (Continue on revere'» aide II neceeamry and Identity ;iy block number) This is the third in a series of reports on Manpower Planning Models. The emphasis in this report is on the formulation, theory, and application of longitudinal models. The concepts of chain flows are introduced and exploited in a number of applications.

Operations Research, Aug 1, 1969

Princeton University Press eBooks, Jul 13, 2021

The Journal of Portfolio Management, Oct 31, 1989

... ANDREW RUDD is President of BARRA, and DAN STEFEK is a Senior Consultant there. Earlier versi... more ... ANDREW RUDD is President of BARRA, and DAN STEFEK is a Senior Consultant there. Earlier versions of this paper were presented at the Quantitative Man-agement Seminar in Japan, November 15-17, 1988, and the Spring Seminar of the Institute for Quantitative Research ...

WORLD SCIENTIFIC eBooks, Mar 23, 2017

Notes: Active Portfolio Management By Zhipeng Yan score to a forecast of residual return (an alph... more Notes: Active Portfolio Management By Zhipeng Yan score to a forecast of residual return (an alpha). The volatility is the residual volatility. IC is the correlation between the scores and the returns. Chapter 2 Consensus Expected Returns: The CAPM 1. The CAPM is about expected returns, not risk. 2. There is a tendency for betas towards the mean. 3. Forecasts of betas based on the fundamental attributes of the company, rather their returns over the past 60 or so months, turn out to be much better forecasts of future beta. 4. Beta allows us to separate the excess returns of any portfolio into two uncorrelated components, a market return and a residual return. (no theory or assumption are needed to get this point) 5. CAPM states that the expected residual return on all stocks and any portfolio is equal to zero. Expected excess returns will be proportional to the portfolio's beta. 6. Under CAPM, an individual whose portfolio differs from the market is playing a zero-sum game. The player has additional risk and no additional expected return. This logic leads to passive investing;, i.e., buy and hold the market portfolio. 7. The ideas behind the CAPM help the active manager avoid the risk of market timing, and focus research on residual returns that have a consensus expectation of zero. 8. The CAPM forecasts of expected return will be as good as the forecasts of beta. Chapter 3 Risk I. risk index. We construct risk index exposures by weighting exposures of the descriptors within the risk index. 7. Quantify exposures to descriptors and risk indices-standardize exposures! Chapter 4 Exceptional Return, Benchmarks, and Value Added

The Journal of Portfolio Management, Jul 31, 2010

Signal weighting is the name commonly used for the allocation of risk between several potential s... more Signal weighting is the name commonly used for the allocation of risk between several potential sources, or themes, each of which is assumed to have some potential for adding value. The signal-weighting decision is an important facet of any investment process. Grinold presents a portfolio-based approach to the choice of signal weights in the presence of trading costs. In the absence of costs, the weights depend on the assessed strength of the signals—the correlations between the signal and the desired level of portfolio risk. In the presence of costs, the method also depends critically on the rate that new information arrives for each of the signals as well as the rate of change (trading speed) of the portfolio. The resulting model is robust and relatively simple to use. The model also forces portfolio managers to view their portfolios and their respective drivers as objects in motion. That change of perspective alone is valuable. Technical material is contained in two appendices that can be obtained from the author.

The Journal of Portfolio Management, Jan 31, 2006

The Journal of Portfolio Management, Jan 31, 1999

In this cautionary tale, the sorcerer's apprentice uses his mentor's magic before he know... more In this cautionary tale, the sorcerer's apprentice uses his mentor's magic before he knows how to control it. Matters quickly get out of hand. The author argues that the scenario-based expected utility maximization approach to portfolio optimization presents similar opportunities for misadventure. He shows how to avoid the danger, Alas, as with all sorcery, when the illusion is stripped away one sees that there is less there than initially supposed. The conventional mean-variance approach gives comparable answers with less bother and peril.

The Journal of Portfolio Management, Apr 30, 1992

A two-step approach to information ratios, information coefficients, and the value of investment ... more A two-step approach to information ratios, information coefficients, and the value of investment information. Information is the vital input into any active management strategy. Information separates active management from passive management. Information, properly applied, allows active managers to outperform their informationless bench marks. Information analysis is the science of evaluating information content, and refining information to build portfolios. Information analysis works both for managers who use a non-quantitative process and for those who use a quantitative investment process. The only requirement is that there is a process. Information is a fuzzy concept. Information analysis begins by transforming information into something concrete: investment portfolios. Then it analyzes the performance of those portfolios to determine the value of the information. Information analysis can work with something as simple as an analyst's buy and sell recommendations. Or it can work with alpha forecasts for a broad universe of stocks. Information analysis is not concerned with the intuition or process used to g e n e r a t e s t o c k r e c o m m e n d a t i o n s , o n l y w i t h t h e recommendations themselves. Information analysis can be precise. It can determine whether information is valuable on the upside, the downside,

Written by two of the industry's top researchers, this important book provides the analytical... more Written by two of the industry's top researchers, this important book provides the analytical and quantitative foundation for active portfolio management. Mathematically rigorous and meticulously organized, Active Portfolio Management demonstrates how to evaluate existing investment strategies and provides guidance for the development of new approaches.

The management of global investment portfolios is a complex extension of single-country or domest... more The management of global investment portfolios is a complex extension of single-country or domestic fund management. Clearly currencies must be explicitly considered, and the cultural differences among countries raise some important questions regarding investor preferences, market efficiency, and security analysis. Another aspect of global portfolio management concerns the degree to which countries and companies within countries are linked—the extent to which international markets are integrated or segmented. l If assets are closely related across countries (integrated markets), domestic fund management is a special case of global fund management. The factors and influences that affect the world as a whole are mirrored within each country. To the extent that assets are not related across countries (segmented markets), however, singlecountry management should vary country by country as it is likely that there will be different risk/reward trade-offs across countries.

The Journal of Portfolio Management, 2018

The author continues his study of dynamic portfolio management published in an earlier issue of t... more The author continues his study of dynamic portfolio management published in an earlier issue of this journal. The approach considers each asset in isolation and finds the best trading policy for the asset within a prespecified class of policies. An earlier article considered linear trading rules and developed the notion of a target portfolio—a position we would prefer to hold given a single cost-free trade. The target is in motion, driven by changes in a collection of signals that are assumed to be correlated with future asset returns. In this article, the author expands the class of policies to include piecewise linear policies for three defined ranges (buy, hold, sell) and defined responses in the buy and sell regions. The policy driver is the difference between the target position and the current position, known as the backlog. If the backlog is small enough in absolute value, we are in the no-trade zone, and the policy prescription is hold. If the backlog is larger than the posi...

The Journal of Portfolio Management, 1989

... Investment Risk." Investment Management Review, November-December 1987, pp. 19-27. S... more ... Investment Risk." Investment Management Review, November-December 1987, pp. 19-27. Sharpe, William." Mutual Fund Performance." Journal of Business, January 1966. Treynor, Jack, and Fischer Black." How to Use Security Analysis to Improve Portfolio Selection." Journal ...

The Journal of Finance, 1996

... Grinblatt, Mark, Sheridan Titman, and Russ Wermers, 1993, Momentum strategies, portfolio perf... more ... Grinblatt, Mark, Sheridan Titman, and Russ Wermers, 1993, Momentum strategies, portfolio performance, and herding: A study of mutual fund behavior. Working paper, John E. Ander-son Graduate School of Management, UCLA. Page 4. ... By MYRON J. GORDON. ...

Management Science, 1970

There is a dual program linked with every nonlinear program. The dual objective function is calle... more There is a dual program linked with every nonlinear program. The dual objective function is called the Lagrangian; it is defined in terms of the original problem. This note presents a characterization of the Lagrangian subgradients under general conditions. The theorem follows from a result of Danskin [1] that can be used (see [2]) to characterize the Lagrangian directional derivatives. These characterizations are theoretically interesting and may be useful in computing optimal dual solutions. Rockafellar's outstanding book, [3], is used as a basic reference; it contains a wealth of background and historical information.

RePEc: Research Papers in Economics, Nov 1, 1980

This paper shows how an operational method for solving dynamic programs can be used, in some case... more This paper shows how an operational method for solving dynamic programs can be used, in some cases, to solve the problem of maximizing a firm's market value. The problem is formulated as a Markov decision problem that can be solved via linear programming. The paper shows how to calculate or estimate the state-contingent prices that are used to value the firm. In addition, the paper points out how states can be aggregated to make the solution technique more practical. The paper's final section contains a specific example.