Biblioteca Univ. Surcolombiana

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Modern investment management an equilibrium approach Bob Litterman and the Quantitative Resources Group Goldman Sachs Asset Management.

By: Litterman, Robert B.
Contributor(s): Goldman Sachs Asset Management. Quantitative Resources Group.
Series: Wiley finance series.Hoboken, N.J. John Wiley ©2003Description: xviii, 626 páginas ilustrado 26 cm.ISBN: 0471124109.Subject(s): Investments | Portfolio management | Risk management | Administración de cartera (finanzas) | Gestión del riesgo (finanzas)DDC classification: 332.6 Online resources: Contributor biographical information | Publisher description | Table of contents
Contents:
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.
List(s) this item appears in: Economia
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Libros Libros Biblioteca Central
General 332.6 / L777m (Browse shelf) Ej.1 Available 8000022264
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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.

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