Modern investment management : an equilibrium approach
著者
書誌事項
Modern investment management : an equilibrium approach
（Wiley finance series）
John Wiley, c2003
- : cloth
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注記
Published simultaneously in Canada
Includes bibliographical references (p. 595-603) and index
収録内容
- The insights of modern portfolio theory
- Risk measurement
- The capital asset pricing model
- The equity risk premium
- Global equilibrium expected returns
- Beyond equilibrium, the Black-Litterman approach
- The market portfolio
- Issues in strategic asset allocation
- Strategic asset allocation in the presence of uncertain liabilities
- International diversification and currency hedging
- The value of uncorrelated assets
- Developing an active risk budget
- Budgeting risk along the active risk spectrum
- Risk management and risk budgeting at the total fund level
- Covariance matrix estimation
- Risk monitoring and performance measurement
- The need for independent valuation
- Performance attribution
- Equity risk factor models
- An asset-management approach to manager selection
- Investment program implementation : realities and best practices
- Equity portfolio management
- Fixed income risk and return
- Global tactical asset allocation
- Strategic asset allocation and hedge funds
- Managing a portfolio of hedge funds
- Investing in private equity
- Investing for real after-tax results
- Real, after-tax returns of US stocks, bonds and bills, 1926 through 2001
- Asset allocation and location
- Equity portfolio structure allocation
- Strategic asset allocation and hedge funds
- Managing a portfolio of hedge funds
- Investing in private equity
内容説明・目次
内容説明
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.
目次
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).
Bibliography.
Index.
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