Modern Investment Management: An Equilibrium Approach

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9780471124108: Modern Investment Management: An Equilibrium Approach

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.

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From the Inside Flap:

There are many approaches to investing, but for Bob Litterman and Goldman Sachs Asset Management’s Quantitative Resources Group, the equilibrium approach has been the most rewarding. In any dynamic system, equilibrium is an idealized point where forces are perfectly balanced. In economics, equilibrium refers to a state of the world where supply equals demand. And although perfect equilibrium is never actually reached in financial markets, this modern investment framework provides guidance for informed investment decisions in a world where random shocks constantly create new opportunities.

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

Tremendous progress has been made in both the theory and the practice of investment management over the past fifty years, and our understanding of the science of market equilibrium and of portfolio theory has developed with it. Through six information-rich sections, Modern Investment Management will show you how to understand these changes and how to implement them in your own investment endeavors.

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

Today, you have an opportunity to invest more intelligently than previous generations of investors. The possibilities of creating a portfolio that will deliver consistent, high-quality returns are better than you may think. With Modern Investment Management as your guide, you’ll quickly learn how this can be accomplished.

From the Back Cover:

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

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