Bob Litterman
John Wiley & Sons
1e druk, 2003
9780471124108
Modern Investment Management
An equilibrium approach
Specificaties
Gebonden, 626 blz.
|
Engels
John Wiley & Sons |
1e druk, 2003
ISBN13: 9780471124108
Rubricering
Verwachte levertijd ongeveer 8 werkdagen
Samenvatting
Dit boek introduceert de moderne technieken voor beleggingsbeheer die worden gebruikt door Goldman Sachs activabeheer bij een grote verscheidenheid aan institutionele en erudiete beleggers.
Specificaties
ISBN13:9780471124108
Trefwoorden:beleggen, financieel management
Taal:Engels
Bindwijze:gebonden
Aantal pagina's:626
Uitgever:John Wiley & Sons
Druk:1
Hoofdrubriek:Management
Inhoudsopgave
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.
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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