Re: [請益] Portfolio Management
看板CFAiafeFSA (精算師/基金經理人/銀行家)作者damir (Probabilist)時間21年前 (2004/05/19 12:00)推噓0(0推 0噓 0→)留言0則, 0人參與討論串1/1
Active Portfolio Management 2nd ed. by Grinold & Kahn
I have read the first edition. A well-rounded introduction to portfolio
management. Though I heard that they publish the book mainly for the
promotion of their software.They were in BARRA when the first edition published
Modern Investment Management: An Equilibrium Approach by Bob Litterman
He and the legendary Fischer Black have co-authored some important papers
on asset allocation. This book is a compilation of articles written
by Bob Litterman and GSAM's Quantitative Resources Group. I have read some
chapters, not bad.
Optimal Portfolios by Ralf Korn
This is probably so-far the only book mainly devoted to continuous time
portfolio optimization. Not as rigorous as Karatzas & Shreve's
"Methods of Mathematical Finance." It is more readable.
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