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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.
* 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.
656 pages, Hardcover
First published July 2, 2003
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Displaying 1 - 3 of 3 reviews
February 27, 2019
An interesting way to look at investments
May 14, 2016
I purchased this book because Bob Litterman's name is on the cover. Although Amazon didn't make the distinction, Litterman is the book's editor, not it's author. However, Litterman did write several chapters, including the chapter on Black-Litterman. But he's not the only author; the book was written by a team of people from Goldman Sachs.
The chapter on Black-Litterman was, in fact, my main reason for buying the book, and Litterman delivered a great chapter. The other 31 chapters are enlightening, cover a broad array of topics -- including some, such as hedge funds, that have no impact on me -- and are well written.
I remember how learning about the efficient frontier changed my view of investing. And Markowitz published his paper in 1952! I learned about Black-Litterman largely as an improvement over mean-variance optimization, but over the years I've learned that Black-Litterman has several advantages such as intuitive portfolios, better expected return estimates, and the ability to express views on those expected returns. Incidentally, Litterman claims views are the key improvement from the approach.
This book has changed my view of investing yet again. The team from Goldman Sachs presents an approach they refer to as risk budgeting. They show that an investor can monitor risk much as an accountant manages cash, and they show how an investor can carefully get the most value from each unit of risk they accept.
The chapter on Black-Litterman was, in fact, my main reason for buying the book, and Litterman delivered a great chapter. The other 31 chapters are enlightening, cover a broad array of topics -- including some, such as hedge funds, that have no impact on me -- and are well written.
I remember how learning about the efficient frontier changed my view of investing. And Markowitz published his paper in 1952! I learned about Black-Litterman largely as an improvement over mean-variance optimization, but over the years I've learned that Black-Litterman has several advantages such as intuitive portfolios, better expected return estimates, and the ability to express views on those expected returns. Incidentally, Litterman claims views are the key improvement from the approach.
This book has changed my view of investing yet again. The team from Goldman Sachs presents an approach they refer to as risk budgeting. They show that an investor can monitor risk much as an accountant manages cash, and they show how an investor can carefully get the most value from each unit of risk they accept.
June 28, 2012
A good summary of quantitative investment method based on the GSAM quant team approach. Useful for reference.
Displaying 1 - 3 of 3 reviews