{"product_id":"modern-investment-management-isbn-9780471124108","title":"Modern Investment Management","description":"Introduces the modern investment management techniques used by Goldman Sachs asset management to a broad range of institutional and sophisticated investors.\u003cbr\u003e * 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.\u003cbr\u003e * 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.Dieser Band füllt eine echte Marktlücke.\u003cbr\u003e \u003cbr\u003e \"Goldman Sach's Modern Investment\" gibt eine Einführung in moderne Investment Management Verfahren, wie sie von Goldman Sachs Asset Management verwendet werden, um erstklassige Investitionsrenditen zu erzielen.\u003cbr\u003e \u003cbr\u003e Erläutert werden u.a. die moderne Portfoliotheorie (Portfoliodiversifikation zur Risikostreuung), Capital Asset Pricing (Verfahren zur Ermittlung des Risiko-Rendite-Austauschverhältnisses von Finanzanlagen, bei dem der unterschiedliche Risikogehalt von Finanztiteln berücksichtigt wird) sowie eine Reihe aktueller Themen wie z.B. strategische Portfoliostrukturierung, Risikobudgetierung und aktives Portfolio Management.\u003cbr\u003e \u003cbr\u003e Hier erhalten Sie die Mittel an die Hand, um die Goldman Sachs Asset Management Methode für sich selbst umzusetzen.\u003cbr\u003e \u003cbr\u003e Das von Fischer Black und Bob Litterman gemeinsam entwickelte Black-Litterman Asset Allocation Model gehört zu den angesehensten und meist verwendeten Modellen zur Portfoliostrukturierung.\u003cbr\u003e \u003cbr\u003e Litterman und seine Asset Management Group sind oft die treibende Kraft, wenn es um Portfoliostrukturierung und Investmententscheidungen der 100 international größten Pensionsfonds geht. PART ONE: THEORY.\u003cbr\u003e \u003cbr\u003e Chapter 1. Introduction: Why and Equilibrium Approach? (B. Litterman).\u003cbr\u003e \u003cbr\u003e Chapter 2. The Insights of Modern Portfolio Theory (B. Litterman).\u003cbr\u003e \u003cbr\u003e Chapter 3. Risk Measurement (B. Litterman).\u003cbr\u003e \u003cbr\u003e Chapter 4. The Capital Asset Pricing Model (B. Litterman).\u003cbr\u003e \u003cbr\u003e Chapter 5. The Equity Risk Premium (M. Carhart \u0026amp; K. Winkelmann).\u003cbr\u003e \u003cbr\u003e Chapter 6. Global Equilibrium Expected Returns (B. Litterman).\u003cbr\u003e \u003cbr\u003e Chapter 7. Beyond Equilibrium, the Black-Litterman Approach (B. Litterman).\u003cbr\u003e \u003cbr\u003e PART TWO: INSTITUTIONAL FUNDS.\u003cbr\u003e \u003cbr\u003e Chapter 8. The Market Portfolio (R. Bandourian \u0026amp; K. Winkelmann).\u003cbr\u003e \u003cbr\u003e Chapter 9. Issues in Strategic Asset Allocation (K. Winkelmann).\u003cbr\u003e \u003cbr\u003e Chapter 10. Strategic Asset Allocation in the Presence of Uncertain Liabilities (R. Howard \u0026amp; Y. Lax).\u003cbr\u003e \u003cbr\u003e Chapter 11. International Diversification and Currency Hedging (B. Litterman).\u003cbr\u003e \u003cbr\u003e Chapter 12. The Value of Uncorrelated Sources of Return (B. Litterman).\u003cbr\u003e \u003cbr\u003e PART THREE: RISK BUDGETING.\u003cbr\u003e \u003cbr\u003e Chapter 13. Developing an Optimal Active Risk Budget (B. Litterman).\u003cbr\u003e \u003cbr\u003e Chapter 14. Budgeting Risk Along the Active Risk Spectrum (A. Alford, et al.).\u003cbr\u003e \u003cbr\u003e Chapter 15. Risk Management and Risk Budgeting at the Total Fund Level (J. Gottlieb).\u003cbr\u003e \u003cbr\u003e Chapter 16. Covariance Matrix Estimation (G. De Santis, et al.).\u003cbr\u003e \u003cbr\u003e Chapter 17. Risk Monitoring and Performance Management (J. Rosengarten \u0026amp; P. Zangari).\u003cbr\u003e \u003cbr\u003e Chapter 18. The Need for Independent Valuation (J. Mittaz).\u003cbr\u003e \u003cbr\u003e Chapter 19. Performance Attribution (P. Zangari).\u003cbr\u003e \u003cbr\u003e Chapter 20. Equity Risk Factor Models (P. Zangari).\u003cbr\u003e \u003cbr\u003e PART FOUR: TRADITIONAL INVESTMENTS.\u003cbr\u003e \u003cbr\u003e Chapter 21. An Asset-Management Approach to Manager Selection (D. Ben-Ur \u0026amp; C. Vella).\u003cbr\u003e \u003cbr\u003e Chapter 22. Investment Program Implementation: Realities and Best Practices (J. Kramer).\u003cbr\u003e \u003cbr\u003e Chapter 23. Equity Portfolio Management (A. Alford, et al.).\u003cbr\u003e \u003cbr\u003e Chapter 24. Fixed Income Risk and Return (J. Beinner).\u003cbr\u003e \u003cbr\u003e PART FIVE: ALTERNATIVE ASSET CLASSES.\u003cbr\u003e \u003cbr\u003e Chapter 25. Global Tactical Asset Allocation (M. Carhart).\u003cbr\u003e \u003cbr\u003e Chapter 26. Strategic Asset Allocation and Hedge Funds (K.Winkelmann, et al.).\u003cbr\u003e \u003cbr\u003e Chapter 27. Managing a Portfolio of Hedge Funds (K. Clark).\u003cbr\u003e \u003cbr\u003e Chapter 28. Investing in Private Equity (B. Griffiths).\u003cbr\u003e \u003cbr\u003e PART SIX: PRIVATE WEALTH.\u003cbr\u003e \u003cbr\u003e Chapter 29. Investing for Real After-Tax Results (D.Mulvihill).\u003cbr\u003e \u003cbr\u003e Chapter 30. Real, After-Tax Returns of US Stocks, Bonds and Bills, 1926 through 2001 (D.Mulvihill).\u003cbr\u003e \u003cbr\u003e Chapter 31. Asset Allocation and Location (D.Mulvihill).\u003cbr\u003e \u003cbr\u003e Chapter 32. Equity Portfolio Structure (D.Mulvihill).\u003cbr\u003e \u003cbr\u003e Bibliography.\u003cbr\u003e \u003cbr\u003e Index. \"... valuable resource for any market practitioners interested in or working in the asset management field... one of the better books.\" (Risk, April 2004)\u003cbr\u003e \u003cbr\u003e With names ranging from Alford to Zangari, but led by Bob Litterman, an academy of 23 authors has produced the 600-page Goldman Sachs Asset Management textbook entitled Modern Investment Management: An Equilibrium Approach*. This is a state-of-the-art exposition of modern investment techniques, full of brilliant analysis but oddly detached from the real world.\u003cbr\u003e A briefcase-busting volume may be an unusual marketing tool to distribute to clients, but GSAM's focus is conventional enough. After all, US pension plans have a daunting problem: their sponsors are typically projecting 9 per cent investment returns even though the risk-free US Treasury bond yield has recently been below 4 per cent (though it is now rising quite fast).\u003cbr\u003e Even GSAM does not think the equity risk premium is more than 3.5 per cent (and many others say it is much less). So where can a 9 per cent expectation come from, other than the end of a rainbow?\u003cbr\u003e One response would be to cut the targeted return to, say, 6 per cent, which could be achieved through a reasonably cautious mix of bonds and equities.\u003cbr\u003e But such a capitulation would plunge many pension plans into serious deficit, and force sharp rises in contributions.\u003cbr\u003e Companies like General Motors would not be able to borrow on the bond market and invest the proceeds in securities at a \"profit\".\u003cbr\u003e Enter GSAM with an array of active risk opportunities, information ratio assumptions and derivatives strategies.\u003cbr\u003e Uncorrelated hedge funds and private equity products add alpha, while interest rate and currency overlays can contribute extra return while hedging liability risks. This is the world of \"active alpha\" - the return generated by active deviations from the benchmark as distinct from beta, the market return.\u003cbr\u003e The positive appeal lies is in GSAM's treatment of risk. In today's markets, fund managers can only outperform if they accept an appropriate amount of risk: not too much, not too little.\u003cbr\u003e This applies across the spectrum from asset allocators to specialist portfolio managers.\u003cbr\u003e Investors, however, tend to be apprehensive about the dependence of the sophisticated investment theories on historical data. In a crisis, these can malfunction badly. A \"three standard deviation event\" - which, mathematically, is supposed to be almost impossible - is, in fact, all too common.\u003cbr\u003e Moreover, GSAM appears to inhabit an unreal world where the information ratio - the active return per unit of active risk - is 0.75 and a higher active risk therefore reliably generates higher returns.\u003cbr\u003e This is fine if the investors consistently select brilliant fund managers.\u003cbr\u003e But, in the real world, the average information ratio is zero (or negative, after costs) and portfolio risk is hard to measure with precision over any length of time.\u003cbr\u003e There is a problem of lack of scalability too. \"The best hedge funds are closed,\" admits GSAM. Managers of niche funds can select unusually profitable opportunities in inefficient markets (Japanese small cap equities being an oft-quoted example).\u003cbr\u003e Moreover, alpha can then be \"ported\" into a mainstream asset class, using derivatives. But it is unlikely that big pension plans can thread their way nimbly through such investment minefields without triggering explosions.\u003cbr\u003e What GSAM is in effect saying is that simple investment in mainstream equities and bonds is not going to generate the required returns. In particular, the soft option of index-tracking, which has been adopted by so many pension funds and other institutional investors, is a trap. The age of risk and skill is here.\u003cbr\u003e There is little or nothing here about economic fundamentals, corporate governance or costs, the kind of subjects which dominate conventional investment committee meetings.\u003cbr\u003e Fans of Warren Buffett definitely need not apply, although Bob Litterman observes that \"there might be a little bit of extra reward for those armed with the most thorough, efficient and disciplined investment processes, even though competition will certainly quickly eliminate most such opportunities\".\u003cbr\u003e For Goldman Sachs, the attractions of active alpha are crystal clear. But although some investors may be ready to move along the quantative route, many pension fund trustees will wonder whether the game is becoming too hazardous and opaque. (Financial Times, September 29, 2003)\u003cbr\u003e \u003cbr\u003e \"...this is a state of the art exposition of modern investment techniques, full of brilliant analysis...\" (Financial Times (FTfm))\u003cbr\u003e \u003cbr\u003e \"...the book explains some investment management techniques used by GSAM...\" (Pensions Management, October 2003)\u003cbr\u003e \u003cbr\u003e \"...The strength of this book is its technical rigour...\" (Investment and Pensions Europe, November 2003) 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.  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.\u003cbr\u003e \u003cbr\u003e 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.\u003cbr\u003e \u003cbr\u003e 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.\u003cbr\u003e * Part One presents a simple, practical introduction to the theory of investment management that has been developed in academic institutions over time\u003cbr\u003e * Part Two focuses on the problems faced in the largest institutional portfolios\u003cbr\u003e * Part Three discusses the various aspects of risk, from defining a risk budget to estimating covariance matrices\u003cbr\u003e * Part Four looks at traditional asset classes such as equities and bonds, as well as the challenge of manager selection\u003cbr\u003e * Part Five considers nontraditional investments such as currency and other overlay strategies, hedge funds, and private equity\u003cbr\u003e * Part Six explores the particular prob-lems of private investors, such as tax considerations and estate planning\u003cbr\u003e \u003cbr\u003e Today, you have an opportunity to invest more intelligently than previous generations of investors. The possibilities of creating a portfolio that will deliver consistent, high-quality returns are better than you may think. With Modern Investment Management as your guide, you'll quickly learn how this can be accomplished. PRAISE FOR Modern Investment Management\u003cbr\u003e \u003cbr\u003e \"This powerful book brilliantly discovers the routes to superior investment results in the roots of economic theory. In the process, it combines elegance of presentation with the highest levels of lucidity. The authors offer lessons that neither the scholar nor the investor-in-action can afford to ignore.\"\u003cbr\u003e -- Peter Bernstein, bestselling author of Capital Ideas: The Improbable Origins of Modern Wall Street and Against the Gods: The Remarkable Story of Risk\u003cbr\u003e \u003cbr\u003e \"In Modern Investment Management: An Equilibrium Approach, Bob Litterman and his colleagues at Goldman Sachs Asset Management provide the reader with a gentle introduction to modern financial theory and a survey of their own monumental contributions to theory and practice. The role of the late Fischer Black is amply noted.\"\u003cbr\u003e -- Harry M. Markowitz, 1990 Nobel Prize Laureate in Economics\u003cbr\u003e \u003cbr\u003e \"This comprehensive guide to equilibrium investing is perhaps the finest demonstration of the relevance of financial theory to investment practice. Both the academy and industry owe a huge debt to this exceptionally talented team for reuniting their paths. Study this book carefully and keep it close at hand if you are serious about investing or teaching about it.\"\u003cbr\u003e -- Mark Kritzman, Managing Partner, Windham Capital Management Boston and Research Director, The Research Foundation of the Association for Investment Management and Research (AIMR)\u003cbr\u003e \u003cbr\u003e \"This book develops a powerful framework for making better investment decisions. The equilibrium approach frees you up to focus on what you know, without being blinded by what you don't know.\"\u003cbr\u003e -- Andre Perold, Professor, Senior Associate Dean, Faculty Director\u003cbr\u003e Harvard Business School\u003cbr\u003e \u003cbr\u003e \"An invaluable investment manual ably supported by the highest-quality financial theory, but well peppered with common sense. The fund manager and the institutional investor ignore this book at their peril. It will be a key reference book for our pension plan.\"\u003cbr\u003e -- David Morgan, Chief Executive, Coal Pension Trustees Services Ltd.\u003cbr\u003e \u003cbr\u003e \"This novel and ambitious book breaks new ground in demonstrating how modern investment theory can be refined and adapted to practice. The authors' experience as investment professionals in a sophisticated institutional setting lends much credibility to their skillful blending of rigorous analysis, intuition, and real-world application.\"\u003cbr\u003e -- Robert F. Stambaugh, Ronald O. Perelman Professor of Finance\u003cbr\u003e The Wharton School, University of Pennsylvania","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989642166501,"sku":"NP9780471124108","price":173.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780471124108.jpg?v=1761784926","url":"https:\/\/k12savings.com\/products\/modern-investment-management-isbn-9780471124108","provider":"K12savings","version":"1.0","type":"link"}