Modern investment management - An equilibrium approch

Bob Litterman

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Bob Litterman - Modern investment management - An equilibrium approch.
There are many approaches to investing, but for Bob Litterman and Goldman Sachs Asset Management's Quantitative Resources Group, the equilibrium approach... Lire la suite
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There are many approaches to investing, but for Bob Litterman and Goldman Sachs Asset Management's Quantitative Resources Group, the equilibrium approach has been the most rewarding. In any dynamic system, equilibrium is an idealized point where forces are perfectly balanced. In economics, equilibrium refers to a state of the world where supply equals demand. And although perfect equilibrium is never actually reached in financial markets, this modern investment framework provides guidance for informed investment decisions in a world where random shocks constantly create new opportunities. 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. You'll also learn how to identify and take advantage of deviations from equilibrium. Tremendous progress has been made in both the theory and the practice of investment management over the past fifty years, and our understanding of the science of market equilibrium and of portfolio theory has developed with it. Through six information-rich sections, Modern Investment Management will show you how to understand these changes and how to implement them in your own investment endeavors. Today, you have an opportunity to invest more intelligently than previous generations of investors. The possibilities of creating a portfolio that will deliver consistent, highquality returns are better than you may think. With Modern Investment Management as your guide, you'll quickly learn how this can be accomplished.


    • Theory
    • Institutional funds
    • Risk budgeting
    • Traditional investments
    • Alternative assets classes
    • Private wealth


  • Date de parution
  • Editeur
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  • EAN
  • Présentation
  • Nb. de pages
    626 pages
  • Poids
    1.36 Kg
  • Dimensions
    18,5 cm × 26,0 cm × 3,8 cm

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À propos de l'auteur

Biographie de Bob Litterman

Bob Litterman is Managing Director and Head of Goldman Sachs Asset Management'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.

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