TY - JOUR T1 - Dynamic Portfolio Analysis JF - The Journal of Portfolio Management SP - 12 LP - 26 DO - 10.3905/jpm.2007.698029 VL - 34 IS - 1 AU - Richard C Grinold Y1 - 2007/10/31 UR - https://pm-research.com/content/34/1/12.abstract N2 - Dynamic portfolio analysis looks at the portfolio as a moving object to capture the essentials of a long-short investment management strategy. To see the forest rather than the trees requires simplifying assumptions, here a bare-bones two-parameter structure. One parameter measures the rate of information flow and the other the rate of trading in the portfolio. This framework yields informative results to explain the implementation efficiency of the strategy as well as the balance between the cost of trading and the benefit of trading. More significantly, it establishes a link between cause and effect. These notions can be used to engineer strategies, to analyze strategies, and to optimize the operation of strategies.TOPICS: Risk management, portfolio management/multi-asset allocation ER -