skip to content
Modern investment management : an equilibrium approach Preview this item
ClosePreview this item
Checking...

Modern investment management : an equilibrium approach

Author: Robert B Litterman; Goldman Sachs Asset Management. Quantitative Resources Group.
Publisher: Hoboken, N.J. : John Wiley, ©2003.
Series: Wiley finance series.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
"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.  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Robert B Litterman; Goldman Sachs Asset Management. Quantitative Resources Group.
ISBN: 0471124109 9780471124108
OCLC Number: 51053677
Notes: Published simultaneously in Canada.
Description: xviii, 626 pages : illustrations ; 26 cm.
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.
Series Title: Wiley finance series.
Responsibility: Bob Litterman and the Quantitative Resources Group Goldman Sachs Asset Management.
More information:

Abstract:

Investing is a difficult and challenging process. There are many ways for institutional and high net worth individual investors to perform poorly, either through mistakes or simple bad luck.  Read more...

Reviews

Editorial reviews

Publisher Synopsis

"... valuable resource for any market practitioners interested in or working in the asset management field... one of the better books." (Risk, April 2004) "a state-of-the-art exposition of modern Read more...

 
User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/51053677> # Modern investment management : an equilibrium approach
    a schema:CreativeWork, schema:Book ;
   library:oclcnum "51053677" ;
   library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/116906311#Place/hoboken_n_j> ; # Hoboken, N.J.
   library:placeOfPublication <http://id.loc.gov/vocabulary/countries/nju> ;
   schema:about <http://experiment.worldcat.org/entity/work/data/116906311#Topic/portfolio_theorie> ; # Portfolio-theorie
   schema:about <http://id.worldcat.org/fast/978234> ; # Investments
   schema:about <http://experiment.worldcat.org/entity/work/data/116906311#Topic/investissements> ; # Investissements
   schema:about <http://id.worldcat.org/fast/1072072> ; # Portfolio management
   schema:about <http://dewey.info/class/332.6/e21/> ;
   schema:about <http://experiment.worldcat.org/entity/work/data/116906311#Topic/portfolio_analyse> ; # Portfolio-analyse
   schema:about <http://experiment.worldcat.org/entity/work/data/116906311#Topic/gestion_de_portefeuille> ; # Gestion de portefeuille
   schema:about <http://experiment.worldcat.org/entity/work/data/116906311#Topic/economisch_evenwicht> ; # Economisch evenwicht
   schema:about <http://experiment.worldcat.org/entity/work/data/116906311#Topic/beleggingen> ; # Beleggingen
   schema:about <http://experiment.worldcat.org/entity/work/data/116906311#Topic/gestion_du_risque> ; # Gestion du risque
   schema:about <http://id.worldcat.org/fast/1098164> ; # Risk management
   schema:bookFormat bgn:PrintBook ;
   schema:contributor <http://viaf.org/viaf/145614635> ; # Goldman Sachs Asset Management. Quantitative Resources Group.
   schema:copyrightYear "2003" ;
   schema:creator <http://experiment.worldcat.org/entity/work/data/116906311#Person/litterman_robert_b> ; # Robert B. Litterman
   schema:datePublished "2003" ;
   schema:description "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."@en ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/116906311> ;
   schema:inLanguage "en" ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/116906311#Series/wiley_finance_series> ; # Wiley finance series.
   schema:name "Modern investment management : an equilibrium approach"@en ;
   schema:productID "51053677" ;
   schema:publication <http://www.worldcat.org/title/-/oclc/51053677#PublicationEvent/hoboken_n_j_john_wiley_2003> ;
   schema:publisher <http://experiment.worldcat.org/entity/work/data/116906311#Agent/john_wiley> ; # John Wiley
   schema:url <http://swbplus.bsz-bw.de/bsz107097923cov.htm> ;
   schema:url <http://digitool.hbz-nrw.de:1801/webclient/DeliveryManager?application=DIGITOOL-3&owner=resourcediscovery&custom_att_2=simple_viewer&user=GUEST&pid=1142969> ;
   schema:url <http://catdir.loc.gov/catdir/toc/wiley031/2002154126.html> ;
   schema:workExample <http://worldcat.org/isbn/9780471124108> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/51053677> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/116906311#Person/litterman_robert_b> # Robert B. Litterman
    a schema:Person ;
   schema:familyName "Litterman" ;
   schema:givenName "Robert B." ;
   schema:name "Robert B. Litterman" ;
    .

<http://experiment.worldcat.org/entity/work/data/116906311#Series/wiley_finance_series> # Wiley finance series.
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/51053677> ; # Modern investment management : an equilibrium approach
   schema:name "Wiley finance series." ;
   schema:name "Wiley finance series" ;
    .

<http://experiment.worldcat.org/entity/work/data/116906311#Topic/economisch_evenwicht> # Economisch evenwicht
    a schema:Intangible ;
   schema:name "Economisch evenwicht"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/116906311#Topic/gestion_de_portefeuille> # Gestion de portefeuille
    a schema:Intangible ;
   schema:name "Gestion de portefeuille"@fr ;
    .

<http://id.worldcat.org/fast/1072072> # Portfolio management
    a schema:Intangible ;
   schema:name "Portfolio management"@en ;
    .

<http://id.worldcat.org/fast/1098164> # Risk management
    a schema:Intangible ;
   schema:name "Risk management"@en ;
    .

<http://id.worldcat.org/fast/978234> # Investments
    a schema:Intangible ;
   schema:name "Investments"@en ;
    .

<http://viaf.org/viaf/145614635> # Goldman Sachs Asset Management. Quantitative Resources Group.
    a schema:Organization ;
   schema:name "Goldman Sachs Asset Management. Quantitative Resources Group." ;
    .

<http://worldcat.org/isbn/9780471124108>
    a schema:ProductModel ;
   schema:isbn "0471124109" ;
   schema:isbn "9780471124108" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.