Modern investment management : an equilibrium approach

Modern investment management an equilibrium approach

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 allo...

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Bibliographische Detailangaben
1. Verfasser: Litterman, Robert Bruce (VerfasserIn, BerichterstatterIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: Hoboken, NJ John Wiley c2003
Schriftenreihe:Wiley finance series
Schlagworte:
Investments > Portfolio management > Risk management > Aufsatzsammlung > Portfoliomanagement > Risikomanagement
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Beschreibung
Zusammenfassung: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
Beschreibung:Includes bibliographical references
Published simultaneously in Canada - Includes bibliographical references
Beschreibung:XVIII, 626 S.
graph. Darst.
ISBN:0471124109
0-471-12410-9