Book Description
Introduces the modern investment management techniques used by Goldman Sachs asset management to a broad range of institutional and sophisticated investors.
* 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.
* 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.
Download Description
Introduces the modern investment management techniques used by Goldman Sachs asset management to a broad range of institutional and sophisticated investors. * 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. * 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.
Customer Reviews:
Ignore the Bad Reviews Below.......2006-08-15
I am quite shocked by all of the poor reviews below. This text is actually very good, in that it address several topics that Grinold and Kahn do not, mainly utility theory (and its role in investor decision making), the international CAPM, and the Black-Litterman model. First, the presentation of the investment decision making process by Litterman from an economics (utility maximization) view point is right on target. Too often portfolio theory is simply presented in a pure mathematical finance format that, while teaching the mechanics, leaves the end user incapable of understanding the implications of the analysis they are performing. Additionally, Litterman's presentation of the international CAPM and universal hedge models are very well done and extremely important. Finally, the Black-Litterman model has become mainstream (it is incorporated into the Ibbotson software) and is completely ignored by Grinold!
I own both Litterman and Grinold, and if you can afford both I would buy both because Grinold does a nice job simply presenting the mathematics, but then so do so many other texts.
Crap.......2005-12-17
A couple of chps from here are reqd reading for the CFA Level III exam (last exam for CFA charter). I was expecting something MUCH better from GSAM who fancy themselves as the best on the street.
Thankfully, CFAI provided us with the chps and we did not have to purchase the book. Save your money and buy Grinold instead.
All Blather and No Substance.......2005-07-12
The boys at GSAM clearly wrote this book as an "alternative" to Grinold and Kahn and to help promote the group as the seek to raise assets.
Grinold and Kahn work at Barclays Global Investors, GSAM's biggest competitor, and they wrote a first-rate book on how to do quantitative management. Their book has become the standard, the must read, and is required by the CFA exam. This obviously bugged them to no end. It's no fun to see your biggest competitor getting tons of accolades. So they did what anyone with a big ego does: they wrote their own book, this book.
Only problem is this book STINKS. What's the matter with it you ask? It has no content. The boys at GSAM were so scared about divigulging anything that could help a competitor (or the market) that they didn't really want to SAY anything.
Now how do you not say anything but still write a book, you ask? Excellent question! The answer is you talk in infuriatingly broad generalities about very general topics.
For example, on the topic of how do you actually trade the portfolio, they come up with such gems of wisdom as:
"Tradomg is the process of executing the orders derived in the portfolio constrution step. To trade a list of stocks efficiently, investors must balance opportunity costs and execution price against market impact costs." [page 431]
This knowledge anyone who has ever thought for 2 seconds about trading knows. The real value might come if they gave you some cool way to think about measuring opportunity costs, ex-ante. Or a nice way of estimating market impact costs. Do they do either? Of course not! Just more and more banal talk.
The book is filled with millions of other examples. One should use a decay weight in estimating covariance matrices. How should we choose that decay weight is of course never mentioned or discussed!
They tell us when choosing between factors to predict returns, "the real challenge is to winnow down the list of factors to a parsimonious set." Okay, how might I do that you GSAM gods? They never ever tell you [see page 420]
You get the point, just lots of blather and really no content.
Save your money and don't buy this book. They don't need your money they have enough already. And it's not like you are getting knowledge or anything valuable in return.
Oldschool.......2003-11-24
Nicely written from a journalistic perspective but rather old fashioned. Many mistakes and deliberate false claims in order to suit product interests of Goldman Sachs. Examples:
In the chapter on asset liability management there is always an analytical case for equities. However the only reason is that GS does not allow duration as a choice variable. Otherwise beta (in their formula) would become one and the optimal equity allocation is zero. Accidental? I doubt it.
They also claim to have found (earlier) a better method than Stambaugh on dealing with missing data. However either you publish or you shut up.
Waste of time for serious quants
The definitive equilibrium investing title.......2003-08-20
My highest commendations to the asset management team at Goldman Sachs. They have come together and created a highly comprehensive tome that covers all the bases within the realm of modern investment theory. Their solid equilibrium approach is applied to all areas, from traditional investments to alternative asset classes, from institutional funds to private wealth, using analysis and real world applications. Incredibly thorough, extremely recommended.
Book Description
An update of a classic book in the field, Modern Portfolio Theory examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. It stresses the economic intuition behind the subject matter while presenting advanced concepts of investment analysis and portfolio management. Readers will also discover the strengths and weaknesses of modern portfolio theory as well as the latest breakthroughs.
Customer Reviews:
Good mix between theory and practice.......2007-09-14
I was looking for a hands on book. It is a pity I had to buy also the software "The Investment Portfolio" which should be included, and also I missed the answers to chapter problems. After a couple of weeks I feel I could advise in making and managing a portfolio.
Solid, comprehensive textbook, but a little uneven.......2006-06-10
If you are looking for one textbook on financial investment, this book should be on the top of your list. It has very solid and comprehensive coverage of all the major topics in financial investment, from portfolio construction to CAPM to options to global investing. What I like the most is the detailed discussions on the various pros and cons of each model or technique people use in the real world. This book is a little light on math, but there's enough to satisfy casual readers who want some math but don't want to deal with things like linear algebra or stochastic processes. Another excellent feature is the large number of references the authors provide.
I cannot give this book 5 stars because, due to the multi-coauthorship, the chapters can be a little uneven in both readability and level of treatment. One chapter will give you two pages of algebra from the first grade, and the next chapter is packed with discussions that require a deep understanding of economic theory. The audience of this book is a college senior or a first-year master's or Ph.D. student, which may explain some of this unevenness. The book also tends to be wordy at times.
But overall, this is a good textbook that you can learn from as well as reference in the future.
Outstanding .......2005-10-01
I got what I expected at the time I was supposed to get it.
Excellent theoretical background.......2001-06-09
This was one of the texts I had to read for one of my MBA classes. It provides an excellent theoretical background in finance and the theories that link finance to macro and micro economics. It is not very practical however. Not much in the book can be applied. It is a must, however, for any serious student of finance. The coverage of option models is a little light, however. I highly recommend that people have a background in calculus, differential equations, probability theory, and linear algebra before reading this book.
Excellent coverage, friendly lingo.......2001-03-30
For a textbook, this is written in a reader-friendly style. You can almost see the author at the blackboard explaining the concepts AND math in plain English. And yet, very little handwaving at all. On the other hand, this may also present special readability challenges: you may find yourself constantly flipping between text and tables to follow the discussion.
From a pedagogical point-of-view, some of the developments might have been more intuitively presented. For example, the chapter on option-pricing theory should mention the expected-value interpretation. Over all, however, this text does very well on this score.
I particularly liked the survey of empirical studies at the end of each major concept, that discusses the imperfections that other researchers have looked into, and their findings.
This is one of the core reference texts I keep on my desk.
Book Description
March 29, 1900, is considered by many to be the day mathematical finance was born. On that day a French doctoral student, Louis Bachelier, successfully defended his thesis Théorie de la Spéculation at the Sorbonne. The jury, while noting that the topic was "far away from those usually considered by our candidates," appreciated its high degree of originality. This book provides a new translation, with commentary and background, of Bachelier's seminal work.
Bachelier's thesis is a remarkable document on two counts. In mathematical terms Bachelier's achievement was to introduce many of the concepts of what is now known as stochastic analysis. His purpose, however, was to give a theory for the valuation of financial options. He came up with a formula that is both correct on its own terms and surprisingly close to the Nobel Prize-winning solution to the option pricing problem by Fischer Black, Myron Scholes, and Robert Merton in 1973, the first decisive advance since 1900.
Aside from providing an accurate and accessible translation, this book traces the twin-track intellectual history of stochastic analysis and financial economics, starting with Bachelier in 1900 and ending in the 1980s when the theory of option pricing was substantially complete. The story is a curious one. The economic side of Bachelier's work was ignored until its rediscovery by financial economists more than fifty years later. The results were spectacular: within twenty-five years the whole theory was worked out, and a multibillion-dollar global industry of option trading had emerged.
Customer Reviews:
Thank you Davis and Etheridge.......2007-04-10
Finally, a worthy title, a worthy edition and binding, and worthy translation of the forgotten paper that transformed the world of finance long after its genius author had passed from this mortal coil. Louis Bachelier's "The Theory of Speculation" was previously only available in French (online at NUMDAM, under Théorie de la spéculation. Annales scientifiques de l'École Normale Supérieure) and in English in the obscure 1971 book "The Random Character of the Stock Market" edited by MIT's Paul Cootner.
Davis and Etheridge's commentary and background and helpful timeline are all welcome, but a thorough biography of Bachelier and his sad life remains to be written. The index is adequate for such a slender volume.
Speculations on the "Theory of Speculation".......2006-10-10
This is an excellent book on the origins of computational finance. It discusses the academic beginnings in the early twentieth century. Finance is a strange subject that is hard to study because people are usually not too willing to share their discoveries- they would rather make massive profits off of them! This book discusses Bachelier's incredible thesis on several levels. He has some very interesting stochastic analysis, but more importantly he discovered a method for the valuation of options- the basis of modern finance.
Book Description
After reading the newspapers and following the sharp oscillations of the stock market, it becomes apparent that hi-tech companies are of a different breed. Never before have the chances of making a fortune been so realistic and never before have large companies been so fragile. What is really going on inside these hi-tech companies? What types of pressures and challenges are they facing? And how do they cope?
Computer software providers, especially the ones that specialize in handling the data needs of organizations, are prime examples of these volatile companies. In the nineties we witnessed their growth from small businesses into multi-billion dollar giants. No wonder investors were attracted.
In 1998 it was easy for such companies to raise as much money as they wanted. But now, investment funds have dried up. Why? And more importantly, is there a way to reverse the trend? This book gives the answers.
Customer Reviews:
99% Novel, 1% TOC.......2005-05-17
Necessary But Not Sufficient can be boiled down to three points:
1. Technology is worthless if it doesn't bring bottom-line value.
2. "Drum-buffer-rope" and "Buffer Management" are good
3. "Pull" inventory management is good
As an rabid reader and huge fan of The Goal, I was dissapointed with the delivery of this book. The fictional plot was boring and the characters were met with absolute apathy. While the above three points are repeated ad nauseum, no real background or detail is revealed on their delivery or use. Instead, Necessary But Not Sufficient is written as lengthy pieces of plot followed by short, almost textbook definitions of these business concepts.
If you're looking for a more interesting and in-depth read, stick with The Goal. Otherwise, shop around for a more engaging and insightful book.
Worst of the TOC Novels.......2004-02-24
This book has very little new material from previous TOC books. It doesn't lead the reader as well as The Goal or It's Not Luck. In short it is a "Rah-Rah" book telling the reader how great TOC is without giving much detail and in the context of a novel that doesn't create a great amount of character sympathy. I really don't understand how a man as brilliant as Goldratt could have written this. Get The Goal, It's Not Luck, and the appropriate textbook(s) to implement TOC in your business.
Student's point of View.......2004-02-14
I'm a student at Tec de Monterrey, in Mexico City. I've been assigned to read The Goal, it wasn't luck and this necessary but not suficient. I have to say that when i read the goald and it's second part i really loved the book. I was introduced to this concepts like DBR and inventory management. While i was reading necessary... i thought, this is by far the worst book written by this author (also read the race).
As a novel there's nothing exciting about it, is not that the other's had me in the edge of my chair, but at least there u could feel the threat was bigger, closing the factory and selling three of them.
And here trying to use TOC and DBD in the technology environment just doesn't work. U could see where the book was going to end, probably cause we are living in that time where u have to make the future.
Absolutely necessary.......2003-01-09
This book is a journey of about a year and a quarter into the ERP market through the eyes of a hypothetical company BGSoft and its implementation partner KPI Solutions. Scott the CEO of BGSoft is a visionary who delivers business results for his clients through his ERP software. Lenny the head of Development, Gail his marketing chief and Maggie of KPI are the other key players in this novel.
Like any other technology company BGSoft faces the uphill task of growing 40 % every year if it has to keep the analysts happy and retain its stock price. It is a key player in the ERP market and its customers are primarily Fortune 1000 companies who can afford the investments and fuel the growth that BGSoft is aiming at. Suddenly Scott realizes that most of the big companies have already adopted ERP and their next best bet is to look for mid size companies. If there are no more deer left in the forest then one has to go after the rabbits. Hunting for rabbits needs the same effort and results in lesser meat per win. Can BGSoff continue to grow at the same rate?
Now there is an unusual call from Craig, CEO of Pierco one of BGSoft's largest customers. Thanks to a new Director, his Board has asked him to justify the investment that he has made in ERP. Call it by whatever name or any flavor of the latest technology jargon, the Board wants to know the impact on two important measures - top line and bottom line. The story now takes a very interesting turn, turning away from the routine issues of features, schedules, budgets, bugs, staffing and project management that are characteristic of any ERP company. The primary issue then becomes delivering true business value that customers can get from IT solutions rather than implementing software from leading vendors on fancy technologies.
Once again, it is worthwhile to mention - Top line and Bottom line - what comes in from the customers and what is retained for the shareholders. Get this right or get out of here is the message for all CEOs. BGSoft now sees a paradigm shift - they need to sell value and not just software.
ERP implementations are typically seen as automating data flow across different functions in an organization. True, it enables to break walls within but sadly the rules of the game continue to remain unchanged, defeating the purpose of better information flow. Technology is necessary, but not sufficient is the core theme of this book.
In the process of helping Craig to find justification for his investment in BGSoft' ERP, we get a deep inside view of Pierco's operations. Excess inventory, production bottlenecks and plenty of infighting between functions who are expected to work towards common goals. Performance measures continue to aim at locally optimal solutions ignoring the final impact on customer service.
Scott is quick to introduce the concepts of TOC- Drum-Buffer Rope method and Buffer management in Pierco. This releases forty percent capacity but causes an unexpected problem- plenty of inventory. TOC concept is then extended to distribution and soon across the entire operations of Pierco. Inventory is kept close to the plant and shipments to warehouses are based on replenishment of actual sales. The entire process shifts from "Push" to "Pull". The results are dramatic. Craig is celebrating!
Craig calls on Scott and Maggie with a proposal to extend the solution to all his vendors and clients. Internet technologies would help. He is keen to focus on his business and not worry about software, hardware, upgrades and the hassles of the IT function. If KPI could help him, he is willing to part with half a percent of his revenues for the services to begin with and then it would jump to one percent a year.
Focus on results for the business, and keep the software simple. Do not allow the tendency of adding feature after feature to complicate the ERP. Extend the solution across the entire supply chain to service the end customer as one logical entity. The top line and bottom line would head north, is a very clear message from this book.
The plot is the constraint!.......2002-05-03
Don't get me wrong--I'm a big TOC fan. I loved The Goal, Critical Chain, and It's Not Luck. I even bought a textbook on TOC. I was so excited for this book and so disappointed. I'm surprised anybody has given this book more than two starts. The plot is 100% non-captivating and I learned NOTHING new about TOC.
Please Mr. Goldratt--Give us something good next time.
Customer Reviews:
A definitely good book for starter.......1998-02-20
The publisher has added a lot of graphs and diagrams to aid understanding. It is a very user-friendly book and suitable for undergraduates and beginner postgraduates courses. The only room for improvement is that the depth of material is not enough for more advanced course.
Average customer rating:
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Asset Management in Theory and Practice: An Introduction to Modern Portfolio Theory
Duncan Hughes
Manufacturer: Global Professional Publishing
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ASIN: 0852976208 |
Book Description
· Comprehensive but succinct introduction
· Theory is closely related to practice with real examples
This succinct guide introduces the reader to the asset management industry and gives an insight in to the real-life environment in which fund managers work. The theories of diversification, managing of risks, immunising portfolios against interest rate changes are here related to the practices of real asset management firms and the many constraints under which they work. It represents a comprehensive introduction to the real workings of equity, bond and other asset management to investment strategy.
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The Modern Theory of Corporate Finance
Clifford W Smith
Manufacturer: McGraw-Hill/Irwin
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ASIN: 0070591091 |
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This book of readings is an ideal supplement for courses in the theory of finance and corporate finance policy offered in MBA and Ph.D. programs, and for advanced courses in corporate finance offered in MBA or Ph.D. programs.
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Modern Perspectives on the Gold Standard
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Hardcover
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ASIN: 0521571693 |
Book Description
Exchange rate instability and crises are a fact of economic life in today's world of open international capital markets. Yet this was not always the case: for more than a third of a century prior to 1914, the gold standard reconciled open financial markets with stable exchange rates among the currencies of the major industrial countries. This book explores how that system worked. The result is an overview of the classical gold standard, a survey of the relevant applied research in international macroeconomics, and a demonstration of how the past can help to inform the present.
Customer Reviews:
From a non-economist.......2003-01-02
I used the book, particularly Eichengreen's chapter on modern perspectives, for a scholarly article I am writing. My field is speech communication rather than economics, and it seemed like a reasonably coherent book to me.
Average customer rating:
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International Perspectives on Profitability and Accumulation (New Directions in Modern Economics)
Fred B. Moseley , and
Edward N. Wolfe
Manufacturer: Edward Elgar Pub
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Binding: Hardcover
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ASIN: 1852785578 |
Books:
- Money, Banking, and Financial Markets
- Neoclassical Finance (Princeton Lectures in Finance)
- Nonparametric Econometrics
- Option Volatility & Pricing: Advanced Trading Strategies and Techniques
- Options, Futures and Other Derivatives (6th Edition)
- PMP Exam Prep, Fifth Edition: Rita's Course in a Book for Passing the PMP Exam
- Professional Electronic Trading
- Quantitative Methods for Business (with Crystal Ball Pro 2000 v7.1, CD-ROM, and InfoTrac )
- Quicken Willmaker Plus 2007 Edition: Estate Planning Essentials (Book with CD-ROM)
- Reading Financial Reports For Dummies
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Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series)
Quantitative Equity Portfolio Management (McGraw-Hill Library of Investment and Finance)
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