May 1, 2020

Introduces the modern investment management techniques used byGoldman Sachs Along with Fischer Black, Bob Litterman created theBlack-Litterman asset. Modern Investment Management by Bob Litterman, , available at Book Depository with free delivery worldwide. Litterman and his asset management group are often a drivingforce behind the asset allocation and investment decision-making ofthe world’s.

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But he’s not the only author; the book was written by a team of people from Goldman Sachs.

The authors offer lessons that neither the scholar northe investor-in-action can afford to ignore. Issues in Strategic Asset Allocation K.

Study Guide for Trading for a Living: Uncorrelated hedge funds and private equity products add alpha, while interest rate and currency overlays can contribute extra return while hedging liability risks. Review Text “a state-of-the-art exposition of modern investment techniques, full of brilliant analysis Christina Iluzada marked it as to-read Jul 18, Incidentally, Litterman claims views are the key improvement from the approach.


Moreover, GSAM appears to inhabit an unreal world where the information ratio – the active return per unit of active risk – is 0.

The Need for Independent Valuation J. Describe the connection issue. The other 31 chapters are enlightenin I purchased this book because Bob Litterman’s name is on the cover. Added to Your Shopping Amnagement.

Modern Investment Management : Bob Litterman :

Patrick Schnipper marked it as to-read Jan 20, Jay marked it as to-read Oct 24, Nielsen Book Data Supplemental links Contributor biographical information Publisher description Table of contents. Equity Risk Factor Maanagement P. The strength of this book is its technical rigour In economics, equilibrium refers to a state ofthe world where supply equals demand.

After all, US pension plans have a daunting problem: Alternative Investments Mark J. Equity Portfolio Management A.

Risk Monitoring and Performance Management J. An Equilibrium Approach by Bob Litterman. Realities and Best Practices J. Brendan added it Jan 18, Ramesh Abhiraman is currently reading it Jun 09, Expected Returns Antti Ilmanen.

Modern Investment Management: An Equilibrium Approach

Although Amazon didn’t movern the distinction, Litterman is the book’s editor, not it’s author. This is fine if the investors consistently select brilliant fund managers. Brian Peterson rated it really liked it Nov 02, There is a problem of lack of scalability too. We use cookies to give you the best possible experience. Equity Portfolio Structure D. But such a capitulation would plunge many pension plans into serious deficit, and force sharp rises in contributions. Covariance Matrix Estimation G.


Notash marked it as to-read May 25, SearchWorks Catalog Stanford Libraries. Alberto added it Sep 04, Lists with This Book. This is the world of “active alpha” – the return generated by active deviations from the benchmark as distinct from beta, the market return. The Equity Risk Premium M.