Modern Investment Management: An Equilibrium Approach

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9780471124108: Modern Investment Management: An Equilibrium Approach
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Introduces the modern investment management techniques used byGoldman Sachs asset management to a broad range of institutionaland sophisticated investors.
* Along with Fischer Black, Bob Litterman created theBlack-Litterman asset allocation model, one of the most widelyrespected and used asset allocation models deployed byinstitutional investors.
* Litterman and his asset management group are often a drivingforce behind the asset allocation and investment decision-making ofthe world's largest 100 pension funds.

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From the Inside Flap:

There are many approaches to investing, but for Bob Litterman andGoldman Sachs Asset Management’s Quantitative Resources Group,the equilibrium approach has been the most rewarding. In anydynamic system, equilibrium is an idealized point where forces areperfectly balanced. In economics, equilibrium refers to a state ofthe world where supply equals demand. And although perfectequilibrium is never actually reached in financial markets, thismodern investment framework provides guidance for informedinvestment decisions in a world where random shocks constantlycreate new opportunities.

Modern Investment Management: An Equilibrium Approach outlinesthe modern investment theory used by the Quantitative ResourcesGroup at Goldman Sachs Asset Management to achieve strong,consistent investment returns. Through in-depth analysis and expertadvice, you’ll learn how the insights of an equilibriumframework help you to structure a portfolio that maximizes expectedreturns within a limited risk budget. You’ll also learn how toidentify and take advantage of deviations from equilibrium.

Tremendous progress has been made in both the theory and thepractice of investment management over the past fifty years, andour understanding of the science of market equilibrium and ofportfolio theory has developed with it. Through sixinformation-rich sections, Modern Investment Management will showyou how to understand these changes and how to implement them inyour own investment endeavors.

  • Part One presents a simple, practical introduction to thetheory of investment management that has been developed in academic institutions over time
  • Part Two focuses on the problems faced in the largestinstitutional portfolios
  • Part Three discusses the various aspects of risk, from defininga risk budget to estimating covariance matrices
  • Part Four looks at traditional asset classes such as equitiesand bonds, as well as the challenge of manager selection
  • Part Five considers nontraditional investments such as currencyand other overlay strategies, hedge funds, and private equity
  • Part Six explores the particular prob-lems of privateinvestors, such as tax considerations and estate planning

Today, you have an opportunity to invest more intelligently thanprevious generations of investors. The possibilities of creating aportfolio that will deliver consistent, high-quality returns arebetter than you may think. With Modern Investment Management asyour guide, you’ll quickly learn how this can beaccomplished.

From the Back Cover:

PRAISE FOR Modern Investment Management

"This powerful book brilliantly discovers the routes to superiorinvestment results in the roots of economic theory. In the process,it combines elegance of presentation with the highest levels oflucidity. The authors offer lessons that neither the scholar northe investor-in-action can afford to ignore."
–– Peter Bernstein, bestselling author of Capital Ideas:The Improbable Origins of Modern Wall Street and Against the Gods:The Remarkable Story of Risk

"In Modern Investment Management: An Equilibrium Approach, BobLitterman and his colleagues at Goldman Sachs Asset Managementprovide the reader with a gentle introduction to modern financialtheory and a survey of their own monumental contributions to theoryand practice. The role of the late Fischer Black is amplynoted."
–– Harry M. Markowitz, 1990 Nobel Prize Laureate inEconomics

"This comprehensive guide to equilibrium investing is perhapsthe finest demonstration of the relevance of financial theory toinvestment practice. Both the academy and industry owe a huge debtto this exceptionally talented team for reuniting their paths.Study this book carefully and keep it close at hand if you areserious about investing or teaching about it."
–– Mark Kritzman, Managing Partner, Windham CapitalManagement Boston and Research Director, The Research Foundation ofthe Association for Investment Management and Research (AIMR)

"This book develops a powerful framework for making betterinvestment decisions. The equilibrium approach frees you up tofocus on what you know, without being blinded by what youdon’t know."
–– Andre Perold, Professor, Senior Associate Dean,Faculty Director
Harvard Business School

"An invaluable investment manual ably supported by thehighest-quality financial theory, but well peppered with commonsense. The fund manager and the institutional investor ignore thisbook at their peril. It will be a key reference book for ourpension plan."
–– David Morgan, Chief Executive, Coal Pension TrusteesServices Ltd.

"This novel and ambitious book breaks new ground indemonstrating how modern investment theory can be refined andadapted to practice. The authors’ experience as investmentprofessionals in a sophisticated institutional setting lends muchcredibility to their skillful blending of rigorous analysis,intuition, and real-world application."
–– Robert F. Stambaugh, Ronald O. Perelman Professor ofFinance
The Wharton School, University of Pennsylvania

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Book Description John Wiley & Sons Inc, United States, 2003. Hardback. Condition: New. 1. Auflage. Language: English. Brand new Book. Introduces the modern investment management techniques used by Goldman Sachs asset management to a broad range of institutional and sophisticated investors. Along with Fischer Black, Bob Litterman created the Black-Litterman asset allocation model, one of the most widely respected and used asset allocation models deployed by institutional investors. Litterman and his asset management group are often a driving force behind the asset allocation and investment decision-making of the world's largest 100 pension funds. Seller Inventory # AAH9780471124108

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Book Description John Wiley and Sons Ltd, United States, 2003. Hardback. Condition: New. 1. Auflage. Language: English. Brand new Book. Introduces the modern investment management techniques used by Goldman Sachs asset management to a broad range of institutional and sophisticated investors. Along with Fischer Black, Bob Litterman created the Black-Litterman asset allocation model, one of the most widely respected and used asset allocation models deployed by institutional investors. Litterman and his asset management group are often a driving force behind the asset allocation and investment decision-making of the world's largest 100 pension funds. Seller Inventory # AAH9780471124108

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