Modern Investment Management: An Equilibrium Approach

By Quantitative Resources Group and Bob Litterman

Book Overview

Dieser Band füllt eine echte Marktlücke.

"Goldman Sach's Modern Investment" gibt eine Einführung in moderne Investment Management Verfahren, wie sie von Goldman Sachs Asset Management verwendet werden, um erstklassige Investitionsrenditen zu erzielen.

Erläutert werden u.a. die moderne Portfoliotheorie (Portfoliodiversifikation zur Risikostreuung), Capital Asset Pricing (Verfahren zur Ermittlung des Risiko-Rendite-Austauschverhältnisses von Finanzanlagen, bei dem der unterschiedliche Risikogehalt von Finanztiteln berücksichtigt wird) sowie eine Reihe aktueller Themen wie z.B. strategische Portfoliostrukturierung, Risikobudgetierung und aktives Portfolio Management.

Hier erhalten Sie die Mittel an die Hand, um die Goldman Sachs Asset Management Methode für sich selbst umzusetzen.

Das von Fischer Black und Bob Litterman gemeinsam entwickelte Black-Litterman Asset Allocation Model gehört zu den angesehensten und meist verwendeten Modellen zur Portfoliostrukturierung.

Litterman und seine Asset Management Group sind oft die treibende Kraft, wenn es um Portfoliostrukturierung und Investmententscheidungen der 100 international grö ten Pensionsfonds geht.

• Format: Hardcover
• Language: English
• ISBN: 0471124109
• ISBN13: 9780471124108
• Release Date: July 2003
• Publisher: Wiley
• Length: 656 Pages
• Weight: 3.01 lbs.
• Dimensions: 1.6" x 7.4" x 10.3"

Customer Reviews

Ignore the Bad Reviews Below

I am quite shocked by all of the poor reviews below. This text is actually very good, in that it address several topics that Grinold and Kahn do not, mainly utility theory (and its role in investor decision making), the international CAPM, and the Black-Litterman model. First, the presentation of the investment decision making process by Litterman from an economics (utility maximization) view point is right on target. Too often portfolio theory is simply presented in a pure mathematical finance format that, while teaching the mechanics, leaves the end user incapable of understanding the implications of the analysis they are performing. Additionally, Litterman's presentation of the international CAPM and universal hedge models are very well done and extremely important. Finally, the Black-Litterman model has become mainstream (it is incorporated into the Ibbotson software) and is completely ignored by Grinold! I own both Litterman and Grinold, and if you can afford both I would buy both because Grinold does a nice job simply presenting the mathematics, but then so do so many other texts.

The definitive equilibrium investing title

My highest commendations to the asset management team at Goldman Sachs. They have come together and created a highly comprehensive tome that covers all the bases within the realm of modern investment theory. Their solid equilibrium approach is applied to all areas, from traditional investments to alternative asset classes, from institutional funds to private wealth, using analysis and real world applications. Incredibly thorough, extremely recommended.