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

Published simultaneously in Canada.

Includes bibliographical references (p. 595\603) and index.

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.