Modern Investment Management

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.

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.

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.

• Part One presents a simple, practical introduction to the theory of investment management that has been developed in academic institutions over time
• Part Two focuses on the problems faced in the largest institutional portfolios
• Part Three discusses the various aspects of risk, from defining a risk budget to estimating covariance matrices
• Part Four looks at traditional asset classes such as equities and bonds, as well as the challenge of manager selection
• Part Five considers nontraditional investments such as currency and other overlay strategies, hedge funds, and private equity
• Part Six explores the particular prob lems of private investors, such as tax considerations and estate planning

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.