Modern investment management: an equilibrium approach

Bob Litterman, Quantitative Resources Group0471124109, 9780471124108, 9780471480655

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 worlds largest 100 pension funds.

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Table of contents :
MODERN INVESTMENT MANAGEMENT……Page 6
About the Authors……Page 10
Preface……Page 16
Contents……Page 20
PART ONE Theory……Page 24
CHAPTER 1 Introduction: Why an Equilibrium Approach?……Page 26
CHAPTER 2 The Insights of Modern Portfolio Theory……Page 30
CHAPTER 3 Risk Measurement……Page 47
CHAPTER 4 The Capital Asset Pricing Model……Page 59
CHAPTER 5 The Equity Risk Premium……Page 67
CHAPTER 6 Global Equilibrium Expected Returns……Page 78
CHAPTER 7 Beyond Equilibrium, the Black-Litterman Approach……Page 99
PART TWO Institutional Funds……Page 112
CHAPTER 8 The Market Portfolio……Page 114
CHAPTER 9 Issues in Strategic Asset Allocation……Page 127
CHAPTER 10 Strategic Asset Allocation in the Presence of Uncertain Liabilities……Page 133
CHAPTER 11 International Diversification and Currency Hedging……Page 159
CHAPTER 12 The Value of Uncorrelated Sources of Return……Page 175
PART THREE Risk Budgeting……Page 192
CHAPTER 13 Developing an Optimal Active Risk Budget……Page 194
CHAPTER 14 Budgeting Risk along the Active Risk Spectrum……Page 215
CHAPTER 15 Risk Management and Risk Budgeting at the Total Fund Level……Page 234
CHAPTER 16 Covariance Matrix Estimation……Page 247
CHAPTER 17 Risk Monitoring and Performance Measurement……Page 272
CHAPTER 18 The Need for Independent Valuation……Page 308
CHAPTER 19 Return Attribution……Page 320
CHAPTER 20 Equity Risk Factor Models……Page 357
PART FOUR Traditional Investments……Page 420
CHAPTER 21 An Asset-Management Approach to Manager Selection……Page 422
CHAPTER 22 Investment Program Implementation: Realities and Best Practices……Page 430
CHAPTER 23 Equity Portfolio Management……Page 439
CHAPTER 24 Fixed Income Risk and Return……Page 458
PART FIVE Alternative Asset Classes……Page 476
CHAPTER 25 Global Tactical Asset Allocation……Page 478
CHAPTER 26 Strategic Asset Allocation and Hedge Funds……Page 506
CHAPTER 27 Managing a Portfolio of Hedge Funds……Page 524
CHAPTER 28 Investing in Private Equity……Page 539
PART SIX Private Wealth……Page 554
CHAPTER 29 Investing for Real After-Tax Results……Page 556
CHAPTER 30 Real, After-Tax Returns of U.S. Stocks, Bonds, and Bills, 1926 through 2001……Page 569
CHAPTER 31 Asset Allocation and Location……Page 588
CHAPTER 32 Equity Portfolio Structure……Page 602
Bibliography……Page 618
Index……Page 628