[size=120%]Modern Investment Management: An Equilibrium Approach
By Bob Litterman, Quantitative Resources Group

•                 Publisher:                                   Wiley
•                 Number Of Pages:                                   624
•                 Publication Date:                                   2003-07-03
•                 ISBN-10 / ASIN:                                   0471124109
•                 ISBN-13 / EAN:                                   9780471124108
•                 Binding:                                   Hardcover

Book Description:
Introduces the modern investment management techniques used byGoldman Sachs asset management to a broad range of institutional andsophisticated investors.
* Along with Fischer Black, Bob Littermancreated the Black-Litterman asset allocation model, one of the mostwidely respected and used asset allocation models deployed byinstitutional investors.
* Litterman and his asset management group are often a driving forcebehind the asset allocation and investment decision-making of theworld's largest 100 pension funds.


Download Description:
Introduces the modern investment management techniques used byGoldman Sachs asset management to a broad range of institutional andsophisticated investors. * Along with Fischer Black, Bob Littermancreated the Black-Litterman asset allocation model, one of the mostwidely respected and used asset allocation models deployed byinstitutional investors. * Litterman and his asset management group areoften a driving force behind the asset allocation and investmentdecision-making of the world's largest 100 pension funds.



Summary: Ignore the Bad Reviews Below
Rating: 5
I am quite shocked by all of the poor reviews below. This text isactually very good, in that it address several topics that Grinold andKahn do not, mainly utility theory (and its role in investor decisionmaking), the international CAPM, and the Black-Litterman model. First,the presentation of the investment decision making process by Littermanfrom an economics (utility maximization) view point is right on target.Too often portfolio theory is simply presented in a pure mathematicalfinance format that, while teaching the mechanics, leaves the end userincapable of understanding the implications of the analysis they areperforming. Additionally, Litterman's presentation of the internationalCAPM and universal hedge models are very well done and extremelyimportant. Finally, the Black-Litterman model has become mainstream (itis incorporated into the Ibbotson software) and is completely ignoredby Grinold!

I own both Litterman and Grinold, and if you can afford both I wouldbuy both because Grinold does a nice job simply presenting themathematics, but then so do so many other texts.


Summary: Crap
Rating: 1
A couple of chps from here are reqd reading for the CFA Level IIIexam (last exam for CFA charter). I was expecting something MUCH betterfrom 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.


Summary: All Blather and No Substance
Rating: 1
The boys at GSAM clearly wrote this book as an "alternative" toGrinold and Kahn and to help promote the group as the seek to raiseassets.

Grinold and Kahn work at Barclays Global Investors, GSAM's biggestcompetitor, and they wrote a first-rate book on how to do quantitativemanagement. Their book has become the standard, the must read, and isrequired by the CFA exam. This obviously bugged them to no end. It's nofun to see your biggest competitor getting tons of accolades. So theydid what anyone with a big ego does: they wrote their own book, thisbook.

Only problem is this book STINKS. What's the matter with it you ask? Ithas no content. The boys at GSAM were so scared about divigulginganything that could help a competitor (or the market) that they didn'treally 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 broadgeneralities 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 theportfolio constrution step. To trade a list of stocks efficiently,investors must balance opportunity costs and execution price againstmarket impact costs." [page 431]

This knowledge anyone who has ever thought for 2 seconds about tradingknows. The real value might come if they gave you some cool way tothink about measuring opportunity costs, ex-ante. Or a nice way ofestimating market impact costs. Do they do either? Of course not! Justmore and more banal talk.

The book is filled with millions of other examples. One should use adecay weight in estimating covariance matrices. How should we choosethat decay weight is of course never mentioned or discussed!

They tell us when choosing between factors to predict returns, "thereal challenge is to winnow down the list of factors to a parsimoniousset." 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 moneythey have enough already. And it's not like you are getting knowledgeor anything valuable in return.


Summary: Oldschool
Rating: 1
Nicely written from a journalistic perspective but rather oldfashioned. Many mistakes and deliberate false claims in order to suitproduct interests of Goldman Sachs. Examples:
In the chapter onasset liability management there is always an analytical case forequities. However the only reason is that GS does not allow duration asa choice variable. Otherwise beta (in their formula) would become oneand the optimal equity allocation is zero. Accidental? I doubt it.
Theyalso claim to have found (earlier) a better method than Stambaugh ondealing with missing data. However either you publish or you shut up.
Waste of time for serious quants


Summary: The definitive equilibrium investing title
Rating: 5
My highest commendations to the asset management team at GoldmanSachs. They have come together and created a highly comprehensive tomethat covers all the bases within the realm of modern investment theory.Their solid equilibrium approach is applied to all areas, fromtraditional investments to alternative asset classes, frominstitutional funds to private wealth, using analysis and real worldapplications. Incredibly thorough, extremely recommended.