Modern investment management : an equilibrium approach / Bob Litterman and the Quantitative Resources Group Goldman Sachs Asset Management.

Bibliographic Details
Uniform Title:Wiley finance series.
Main Author: Litterman, Robert B.
Corporate Author: Goldman Sachs Asset Management. Quantitative Resources Group
Language:English
Published: Hoboken, N.J. : John Wiley, [2003], ©2003.
Series:Wiley finance series.
Subjects:
Investments.
Portfolio management.
Risk management.
Physical Description:xviii, 626 pages : illustrations ; 26 cm.
Format: Book
Contents:
  • The insights of modern portfolio theory
  • Risk measurement
  • The capital asset pricing model
  • The equity risk premium
  • Global equilibrium expected returns
  • Beyond equilibrium, the Black-Litterman approach
  • The market portfolio
  • Issues in strategic asset allocation
  • Strategic asset allocation in the presence of uncertain liabilities
  • International diversification and currency hedging
  • The value of uncorrelated assets
  • Developing an active risk budget
  • Budgeting risk along the active risk spectrum
  • Risk management and risk budgeting at the total fund level
  • Covariance matrix estimation
  • Risk monitoring and performance measurement
  • The need for independent valuation
  • Performance attribution
  • Equity risk factor models
  • An asset-management approach to manager selection
  • Investment program implementation : realities and best practices
  • Equity portfolio management
  • Fixed income risk and return
  • Global tactical asset allocation
  • Strategic asset allocation and hedge funds
  • Managing a portfolio of hedge funds
  • Investing in private equity
  • Investing for real after-tax results
  • Real, after-tax returns of US stocks, bonds and bills, 1926 through 2001
  • Asset allocation and location
  • Equity portfolio structure allocation
  • Strategic asset allocation and hedge funds
  • Managing a portfolio of hedge funds
  • Investing in private equity.