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Modern Investment Management: An Equilibrium Approach
by Bob Litterman, Quantitative Resources Group
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.
BOB LITTERMAN is Managing Director and Head of Goldman Sachs Asset Managementí»s Quantitative Resources Group. Bob is the codeveloper, along with the late Fischer Black, of the Black-Litterman Global Asset Allocation Model. As the head of the Quantitative Resources Group, Bob oversees two portfolio management teams, Quantitative Equities and Quantitative Strategies, a research and strategy team, Global Investment Strategies, and a risk modeling group called PACE (Portfolio Analysis and Construction Environment). Together, these groups include over ninety professionals and manage over $45 billion in assets as of December 31, 2002.
TABLE OF CONTENTS:
PART ONE: THEORY.
Chapter 1. Introduction: Why and Equilibrium Approach? (B. Litterman).
Chapter 2. The Insights of Modern Portfolio Theory (B. Litterman).
Chapter 3. Risk Measurement (B. Litterman).
Chapter 4. The Capital Asset Pricing Model (B. Litterman).
Chapter 5. The Equity Risk Premium (M. Carhart & K. Winkelmann).
Chapter 6. Global Equilibrium Expected Returns (B. Litterman).
Chapter 7. Beyond Equilibrium, the Black-Litterman Approach (B. Litterman).
PART TWO: INSTITUTIONAL FUNDS.
Chapter 8. The Market Portfolio (R. Bandourian & K. Winkelmann).
Chapter 9. Issues in Strategic Asset Allocation (K. Winkelmann).
Chapter 10. Strategic Asset Allocation in the Presence of Uncertain Liabilities (R. Howard & Y. Lax).
Chapter 11. International Diversification and Currency Hedging (B. Litterman).
Chapter 12. The Value of Uncorrelated Sources of Return (B. Litterman).
PART THREE: RISK BUDGETING.
Chapter 13. Developing an Optimal Active Risk Budget (B. Litterman).
Chapter 14. Budgeting Risk Along the Active Risk Spectrum (A. Alford, et al.).
Chapter 15. Risk Management and Risk Budgeting at the Total Fund Level (J. Gottlieb).
Chapter 16. Covariance Matrix Estimation (G. De Santis, et al.).
Chapter 17. Risk Monitoring and Performance Management (J. Rosengarten & P. Zangari).
Chapter 18. The Need for Independent Valuation (J. Mittaz).
Chapter 19. Performance Attribution (P. Zangari).
Chapter 20. Equity Risk Factor Models (P. Zangari).
PART FOUR: TRADITIONAL INVESTMENTS.
Chapter 21. An Asset-Management Approach to Manager Selection (D. Ben-Ur & C. Vella).
Chapter 22. Investment Program Implementation: Realities and Best Practices (J. Kramer).
Chapter 23. Equity Portfolio Management (A. Alford, et al.).
Chapter 24. Fixed Income Risk and Return (J. Beinner).
PART FIVE: ALTERNATIVE ASSET CLASSES.
Chapter 25. Global Tactical Asset Allocation (M. Carhart).
Chapter 26. Strategic Asset Allocation and Hedge Funds (K.Winkelmann, et al.).
Chapter 27. Managing a Portfolio of Hedge Funds (K. Clark).
Chapter 28. Investing in Private Equity (B. Griffiths).
PART SIX: PRIVATE WEALTH.
Chapter 29. Investing for Real After-Tax Results (D.Mulvihill).
Chapter 30. Real, After-Tax Returns of US Stocks, Bonds and Bills, 1926 through 2001 (D.Mulvihill).
Chapter 31. Asset Allocation and Location (D.Mulvihill).
Chapter 32. Equity Portfolio Structure (D.Mulvihill).