User profiles for R. N. Kahn

Ronald N. Kahn

BlackRock and Haas School of Business, University of California, Berkeley
Verified email at blackrock.com
Cited by 3311

[PDF][PDF] Active portfolio management

RC Grinold, RN Kahn - 2000 - academia.edu
Why a second edition? Why take time from busy lives? Why devote the energy to improving
an existing text rather than writing an entirely new one? Why toy with success? The short …

Does historical performance predict future performance?

RN Kahn, A Rudd - Financial analysts journal, 1995 - Taylor & Francis
An investigation of the persistence of mutual fund performance indicates that investors need
more than past performance numbers to pick future winners. In this study, style analysis was …

Multi-period trading via convex optimization

S Boyd, E Busseti, S Diamond, RN Kahn… - … and Trends® in …, 2017 - nowpublishers.com
We consider a basic model of multi-period trading, which can be used to evaluate the
performance of a trading strategy. We describe a framework for single-period optimization, where …

The asset manager's dilemma: How smart beta is disrupting the investment management industry

RN Kahn, M Lemmon - Financial Analysts Journal, 2016 - Taylor & Francis
Smart beta products are a disruptive financial innovation with the potential to significantly
affect the business of traditional active management. They provide an important component of …

The efficiency gains of long–short investing

RC Grinold, RN Kahn - Financial Analysts Journal, 2000 - Taylor & Francis
… We use the framework of Grinold and Kahn (2000). We define asset residual returns, θn, as
Kahn are managing directors at Barclays Global Investors. This article is based on Chapter …

[BOOK][B] The future of investment management

RN Kahn - 2018 - books.google.com
Kahn is a managing director and global head of systematic equity research at BlackRock,
where … Kahn has published numerous articles on investment management, and he coauthored, …

Smart beta: The owner's manual

RN Kahn, M Lemmon - Journal of Portfolio Management, 2015 - search.proquest.com
… We explore this more fully in Kahn and Lemmon [2014b]. *For more details, see Kahn and
Lemmon [2014a]. "There now exist some fixed-income smart-beta prod– ucts, as well as multi-…

[PDF][PDF] Information analysis

RC Grinold, RN Kahn - Journal of Portfolio Management, 1992 - Citeseer
KAHN is Director of Research, at BARRA in Berkeley (CA 94704). … (For a detailed
analysis, see Kahn [1990].) … By definition, the active retu rn to the benchmark is zero. …

The dangers of diversification: managing multiple manager portfolios

G Garvey, RN Kahn, R Savi - Journal of Portfolio Management, 2017 - search.proquest.com
Investors have long built portfolios diversified across managers and have long applied mean-variance
analysis to allocate to managers. This classic approach has at least three …

Convexity and exceptional return

RN Kahn, R Lochoff - Streetwise: The Best of the Journal of …, 1998 - books.google.com
Yo ways shifts in parallel. In fact, the term structure seldom, if ever, shifts in parallel. But is
the deviation from the parallel shift assumption sufficient to negate ferent bonds (or bond …