Litterman, Robert B.
Modern investment management an equilibrium approach Bob Litterman and the Quantitative Resources Group Goldman Sachs Asset Management. - xviii, 626 páginas ilustrado 26 cm. - Wiley finance series .
Publicado simultaneamente en Canadá.
Incluye referencias bibliográficas (p. 595-603) e índice.
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.
0471124109
2002154126
Investments
Portfolio management
Risk management
Administración de cartera (finanzas)
Gestión del riesgo (finanzas)
332.6 / L777m
Modern investment management an equilibrium approach Bob Litterman and the Quantitative Resources Group Goldman Sachs Asset Management. - xviii, 626 páginas ilustrado 26 cm. - Wiley finance series .
Publicado simultaneamente en Canadá.
Incluye referencias bibliográficas (p. 595-603) e índice.
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.
0471124109
2002154126
Investments
Portfolio management
Risk management
Administración de cartera (finanzas)
Gestión del riesgo (finanzas)
332.6 / L777m