Modern investment management：an equilibrium approach 2003英文教材.pdf

MODERN
INVESTMENT
MANAGEMENT
AN EQUILIBRIUM APPROACH
Bob Litterman and the Quantitative Resources Group
Goldman Sachs Asset Management
John Wiley & Sons, Inc.
More Praise for
Modern Investment Management
“This book is likely to e the bible of quantitative investment management.”
—Philippe Jorion
Professor of Finance
Graduate School of Management
University of California—Irvine
“A readable book, aimed at the serious investor. It is prehensive guide that
takes the reader from the theoretical and conceptual all the way through practi-
cal application. pany has been researching and evaluating investment
managers for more than 30 years, and yet I am eager to incorporate the insights
found in this book into our work. New additions to our staff will be reading it
on day one.”
—Paul R. Greenwood
Director of US Equity
Frank pany
“Building on the Nobel Prize-winning work of William Sharpe, and on that of their
late colleague Fischer Black, Bob Litterman and his colleagues at Goldman Sachs
Asset Management have taken the familiar and appealing concept of capital market
equilibrium and reshaped it into an approach to asset management. They then ex-
tend their reach into many other related topics. Practically all investment managers,
plan sponsors, brokers, and other financial professionals will find something of
value in this encyclopedic work.”
—Larry Siegel
Director, Investment Policy Research
The Ford Foundation
“Equilibrium theory is fundamental to virtually every aspect of modern invest-
ment practice. In this book, the team from Goldman Sachs Asset Management
provides not only a highly-readable review of the academic theory, but also a very
practical guide to applying it to most of the important problems faced by today’s
institutional investors. Perhaps most impressive is the breadth of this work. From
asset allocation, to risk budgeting, to manager selection, to performance attribu-
tion, this book touches on the key