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Modern Investment Management: An Equilibrium Approach


PRAISE FOR Modern Investment Management

"This powerful book brilliantly discovers the routes to superior investment results in the roots of economic theory. In the process, it combines elegance of presentation with the highest levels of lucidity. The authors offer lessons that neither the scholar nor the 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, Bob Litterman and his colleagues at Goldman Sachs Asset Management provide the reader with a gentle introduction to modern financial theory and a survey of their own monumental contributions to theory and practice. The role of the late Fischer Black is amply noted."
–– Harry M. Markowitz, 1990 Nobel Prize Laureate in Economics

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

"This book develops a powerful framework for making better investment decisions. The equilibrium approach frees you up to focus on what you know, without being blinded by what you don't know."
–– Andre Perold, Professor, Senior Associate Dean, Faculty Director
Harvard Business School

"An invaluable investment manual ably supported by the highest-quality financial theory, but well peppered with common sense. The fund manager and the institutional investor ignore this book at their peril. It will be a key reference book for our pension plan."
–– David Morgan, Chief Executive, Coal Pension Trustees Services Ltd.

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

BOB LITTERMAN is Managing Director and Head of Goldman Sachs Asset Management's Quantitative Resources Group. Bob is the codeveloper, along with the late Fischer Black, of the Black-Litterman Global Asset Allocation Model. As the head of the Quantitative Resources Group, Bob oversees two portfolio management teams, Quantitative Equities and Quantitative Strategies, a research and strategy team, Global Investment Strategies, and a risk modeling group called PACE (Portfolio Analysis and Construction Environment). Together, these groups include over ninety professionals and manage over $45 billion in assets as of December 31, 2002.

Chapter 1. Introduction: Why and Equilibrium Approach? (B. Litterman).

Chapter 2. The Insights of Modern Portfolio Theory (B. Litterman).

Chapter 3. Risk Measurement (B. Litterman).

Chapter 4. The Capital Asset Pricing Model (B. Litterman).

Chapter 5. The Equity Risk Premium (M. Carhart & K. Winkelmann).

Chapter 6. Global Equilibrium Expected Returns (B. Litterman).

Chapter 7. Beyond Equilibrium, the Black-Litterman Approach (B. Litterman).


Chapter 8. The Market Portfolio (R. Bandourian & K. Winkelmann).

Chapter 9. Issues in Strategic Asset Allocation (K. Winkelmann).

Chapter 10. Strategic Asset Allocation in the Presence of Uncertain Liabilities (R. Howard & Y. Lax).

Chapter 11. International Diversification and Currency Hedging (B. Litterman).

Chapter 12. The Value of Uncorrelated Sources of Return (B. Litterman).


Chapter 13. Developing an Optimal Active Risk Budget (B. Litterman).

Chapter 14. Budgeting Risk Along the Active Risk Spectrum (A. Alford, et al.).

Chapter 15. Risk Management and Risk Budgeting at the Total Fund Level (J. Gottlieb).

Chapter 16. Covariance Matrix Estimation (G. De Santis, et al.).

Chapter 17. Risk Monitoring and Performance Management (J. Rosengarten & P. Zangari).

Chapter 18. The Need for Independent Valuation (J. Mittaz).

Chapter 19. Performance Attribution (P. Zangari).

Chapter 20. Equity Risk Factor Models (P. Zangari).


Chapter 21. An Asset-Management Approach to Manager Selection (D. Ben-Ur & C. Vella).

Chapter 22. Investment Program Implementation: Realities and Best Practices (J. Kramer).

Chapter 23. Equity Portfolio Management (A. Alford, et al.).

Chapter 24. Fixed Income Risk and Return (J. Beinner).


Chapter 25. Global Tactical Asset Allocation (M. Carhart).

Chapter 26. Strategic Asset Allocation and Hedge Funds (K.Winkelmann, et al.).

Chapter 27. Managing a Portfolio of Hedge Funds (K. Clark).

Chapter 28. Investing in Private Equity (B. Griffiths).


Chapter 29. Investing for Real After-Tax Results (D.Mulvihill).

Chapter 30. Real, After-Tax Returns of US Stocks, Bonds and Bills, 1926 through 2001 (D.Mulvihill).

Chapter 31. Asset Allocation and Location (D.Mulvihill).

Chapter 32. Equity Portfolio Structure (D.Mulvihill).