Modern Investment Management An Equilibrium Approach [Hardcover]

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.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 Risls