Efficiently Inefficient

书名：Efficiently InefficientHowSmartMoneyInvestsandMarketPricesAreDetermined
作者：LasseHejePedersen
译者：
ISBN：9780691166193
出版社：PrincetonUniversityPress
出版时间：2015-4-13
格式：epub/mobi/azw3/pdf
页数：368
豆瓣评分： 9.3

书籍简介：

Efficiently Inefficient describes the key trading strategies used by hedge funds and demystifies the secret world of active investing. Leading financial economist Lasse Heje Pedersen combines the latest research with real-world examples and interviews with top hedge fund managers to show how certain trading strategies make money—and why they sometimes don’t. Pedersen views markets as neither perfectly efficient nor completely inefficient. Rather, they are inefficient enough that money managers can be compensated for their costs through the profits of their trading strategies and efficient enough that the profits after costs do not encourage additional active investing. Understanding how to trade in this efficiently inefficient market provides a new, engaging way to learn finance. Pedersen analyzes how the market price of stocks and bonds can differ from the model price, leading to new perspectives on the relationship between trading results and finance theory. He explores several different areas in depth—fundamental tools for investment management, equity strategies, macro strategies, and arbitrage strategies—and he looks at such diverse topics as portfolio choice, risk management, equity valuation, and yield curve logic. The book’s strategies are illuminated further by interviews with leading hedge fund managers: Lee Ainslie, Cliff Asness, Jim Chanos, Ken Griffin, David Harding, John Paulson, Myron Scholes, and George Soros. Efficiently Inefficient effectively demonstrates how financial markets really work.

作者简介：

Lasse Heje Pedersen is a finance professor at Copenhagen Business School and New York University’s Stern School of Business, and a principal at AQR Capital Management. A distinguished financial economist, he has won a number of awards, notably the Bernácer Prize, awarded to European economists under forty who have made outstanding contributions in macroeconomics and finance.

书友短评：

@ solofancy Lasse对市场有效性的看法和Howard的类似，但更加“精确”一些。他认为市场基本有效，而无效的那部分恰好补偿了积极管理的成本。资本市场和资产管理市场两者不可能同时有效（如果如此资本市场有效，那么资产管理市场就必然无效）。作为价投的，我觉得这书最多就是了解个大概，但依然是有价值的。了解对冲基金群体行为逻辑和背后的市场风险，融资风险，撤资风险等对他们行为形成的约束（流动性漩涡以及掠夺式交易）对我们理解市场的价格走向有很大的帮助，毕竟在任何交易中必然有一个人是傻瓜，不研究对手行为逻辑的教练方式是不可取的。全球宏观一块索罗斯的采访很有趣。即使是反射理论的创始人（亦即反应显示的基本趋势与产生于趋势本身的认知偏差之间相互作用），他依然经常对市场过度的反应预判不够。有些部分值得回头来做适当的总结。 @ Backwater 4.5/5 有些公式来源和成分讲得不太好 @ GPGP 比较简单，所以看得懂。。 当然我只看了trend following那一章 @ Likebe concise, informative, well-organized, humble and witty!!

The Main Themes in Three Simple Tables
Preface
Introduction
Part I Active Investment
Chapter 1 Understanding Hedge Funds and Other Smart Money
Chapter 2 Evaluating Trading Strategies: Performance Measures
Chapter 3 Finding and Backtesting Strategies: Profiting in Efficiently Inefficient Markets
Chapter 4 Portfolio Construction and Risk Management
Chapter 5 Trading and Financing a Strategy: Market and Funding Liquidity
Part II Equity Strategies
Chapter 6 Introduction to Equity Valuation and Investing
Chapter 7 Discretionary Equity Investing
Interview with Lee S. Ainslie III of Maverick Capital
Chapter 8 Dedicated Short Bias
Interview with James Chanos of Kynikos Associates
Chapter 9 Quantitative Equity Investing
Interview with Cliff Asness of AQR Capital Management
Part III Asset Allocation and Macro Strategies
Chapter 10 Introduction to Asset Allocation: The Returns to the Major Asset Classes
Chapter 11 Global Macro Investing
Interview with George Soros of Soros Fund Management
Chapter 12 Managed Futures: Trend-Following Investing
Interview with David Harding of Winton Capital Management
Part IV Arbitrage Strategies
Chapter 13 Introduction to Arbitrage Pricing and Trading
Chapter 14 Fixed-Income Arbitrage
Interview with Nobel Laureate Myron Scholes
Chapter 15 Convertible Bond Arbitrage
Interview with Ken Griffin of Citadel
Chapter 16 Event-Driven Investments
Interview with John A. Paulson of Paulson & Co.
References
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