Book Description
Introduces the modern investment management techniques used by Goldman Sachs asset management to a broad range of institutional and sophisticated investors.
* Along with Fischer Black, Bob Litterman created the Black-Litterman asset allocation model, one of the most widely respected and used asset allocation models deployed by institutional investors.
* Litterman and his asset management group are often a driving force behind the asset allocation and investment decision-making of the world's largest 100 pension funds.
Download Description
Introduces the modern investment management techniques used by Goldman Sachs asset management to a broad range of institutional and sophisticated investors. * Along with Fischer Black, Bob Litterman created the Black-Litterman asset allocation model, one of the most widely respected and used asset allocation models deployed by institutional investors. * Litterman and his asset management group are often a driving force behind the asset allocation and investment decision-making of the world's largest 100 pension funds.
Customer Reviews:
Ignore the Bad Reviews Below.......2006-08-15
I am quite shocked by all of the poor reviews below. This text is actually very good, in that it address several topics that Grinold and Kahn do not, mainly utility theory (and its role in investor decision making), the international CAPM, and the Black-Litterman model. First, the presentation of the investment decision making process by Litterman from an economics (utility maximization) view point is right on target. Too often portfolio theory is simply presented in a pure mathematical finance format that, while teaching the mechanics, leaves the end user incapable of understanding the implications of the analysis they are performing. Additionally, Litterman's presentation of the international CAPM and universal hedge models are very well done and extremely important. Finally, the Black-Litterman model has become mainstream (it is incorporated into the Ibbotson software) and is completely ignored by Grinold!
I own both Litterman and Grinold, and if you can afford both I would buy both because Grinold does a nice job simply presenting the mathematics, but then so do so many other texts.
Crap.......2005-12-17
A couple of chps from here are reqd reading for the CFA Level III exam (last exam for CFA charter). I was expecting something MUCH better from 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.
All Blather and No Substance.......2005-07-12
The boys at GSAM clearly wrote this book as an "alternative" to Grinold and Kahn and to help promote the group as the seek to raise assets.
Grinold and Kahn work at Barclays Global Investors, GSAM's biggest competitor, and they wrote a first-rate book on how to do quantitative management. Their book has become the standard, the must read, and is required by the CFA exam. This obviously bugged them to no end. It's no fun to see your biggest competitor getting tons of accolades. So they did what anyone with a big ego does: they wrote their own book, this book.
Only problem is this book STINKS. What's the matter with it you ask? It has no content. The boys at GSAM were so scared about divigulging anything that could help a competitor (or the market) that they didn't really 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 broad generalities 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 the portfolio constrution step. To trade a list of stocks efficiently, investors must balance opportunity costs and execution price against market impact costs." [page 431]
This knowledge anyone who has ever thought for 2 seconds about trading knows. The real value might come if they gave you some cool way to think about measuring opportunity costs, ex-ante. Or a nice way of estimating market impact costs. Do they do either? Of course not! Just more and more banal talk.
The book is filled with millions of other examples. One should use a decay weight in estimating covariance matrices. How should we choose that decay weight is of course never mentioned or discussed!
They tell us when choosing between factors to predict returns, "the real challenge is to winnow down the list of factors to a parsimonious set." 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 money they have enough already. And it's not like you are getting knowledge or anything valuable in return.
Oldschool.......2003-11-24
Nicely written from a journalistic perspective but rather old fashioned. Many mistakes and deliberate false claims in order to suit product interests of Goldman Sachs. Examples:
In the chapter on asset liability management there is always an analytical case for equities. However the only reason is that GS does not allow duration as a choice variable. Otherwise beta (in their formula) would become one and the optimal equity allocation is zero. Accidental? I doubt it.
They also claim to have found (earlier) a better method than Stambaugh on dealing with missing data. However either you publish or you shut up.
Waste of time for serious quants
The definitive equilibrium investing title.......2003-08-20
My highest commendations to the asset management team at Goldman Sachs. They have come together and created a highly comprehensive tome that covers all the bases within the realm of modern investment theory. Their solid equilibrium approach is applied to all areas, from traditional investments to alternative asset classes, from institutional funds to private wealth, using analysis and real world applications. Incredibly thorough, extremely recommended.
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Uncertainty, Information and Communication: Essays in Honor of Kenneth J. Arrow, Volume III
Manufacturer: Cambridge University Press
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Binding: Hardcover
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ASIN: 0521327040 |
Book Description
Professor Kenneth J. Arrow is one of the most distinguished economic theorists. He has played a major role in shaping the present state of the subject and now is to be honored by the publication of three volumes of essays on economic theory. Each volume deals with a different area of economic theory. The books include contributions by some of the best economic theorists from the United Stated, Japan, Israel and Europe. This third volume is entitled Uncertainty, information, and communication.
Customer Reviews:
The canonical Book on General Equilibrium Analysis.......2004-02-06
This short book (roughly 100 pages) gives a clear exposition of the basic elements of axiomatic general equilibrium analysis. The first chapter introduces all (sic!) mathematics used in this book, mainly some topology of euclidean space and basic facts about convex sets. In principle only knowledge about counting is necessary, but some "mathematical maturity" is clearly required. I would advise the reader to learn the relevant topology elsewhere ("Introduction to Analysis" by M. Rosenlicht suffices) and use the first chapter only for reference.
The main text covers the Arrow-Debreu-McKenzie-model and its interpretation, proves its logcial consistency (existence) and investigates its efficiency properties. The formal model is clearly distinguished from its interpretation, which allows Debreu to introduce uncertainty in the model by a simple reinterpretation of the commodity space. The whole approach is axiomatic, which wasn't that usual when Debreu wrote the book in 1959. This book has changed the standards of mathematical rigor in economic theory.
This book is still used as a reference and deserves a place on every economic theorists bookshelf.
A classical book........2001-04-25
This book is a classical. It's important you'll buy for your library.
Difficult, but it's best !.......2000-04-15
This is not an easy book. The mathematics are very rigorous, but everything is well defined, and it is self-contained. However, it pays to read this short book. If you want to understand the foundations of the modern economic analysis, this the place to look
Book Description
This book is a companion volume to Dynamic Macroeconomic Theory by Thomas J. Sargent. It provides scrimmages in dynamic macroeconomic theory--precisely the kind of drills that people will need in order to learn the techniques of dynamic programming and its applications to economics. By doing these exercises, the reader can acquire the ability to put the theory to work in a variety of new situations, build technical skill, gain experience in fruitful ways of setting up problems, and learn to distinguish cases in which problems are well posed from cases in which they are not.
The basic framework provided by variants of a dynamic general equilibrium model is used to analyze problems in macroeconomics and monetary economics. An equilibrium model provides a mapping from parameters of preferences, technologies, endowments, and "rules of the game" to a probability model for time series. The rigor of the logical connections between theory and observations that the mapping provides is an attractive feature of dynamic equilibrium, or "rational expectations," models. This book gives repeated and varied practice in constructing and interpreting this mapping.
Customer Reviews:
A great way to increase your understanding of dynamic macro.......2000-05-24
This set of exercises is a great c
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- My favorite game theory book
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Economics and the Theory of Games
Fernando Vega-Redondo
Manufacturer: Cambridge University Press
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Repeated Games and Reputations: Long-Run Relationships
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Social Dynamics (Economic Learning and Social Evolution)
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Contract Theory
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Natural Justice
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Real Analysis with Economic Applications
ASIN: 0521775906 |
Book Description
Fernando Vega-Redondo's self-contained account of the main contributions of modern game theory and its applications to economics starts with a detailed description of how to model strategic situations. The discussion proceeds by studying basic solution concepts and their main refinements; games played under incomplete information; and repeated games. For each of these theoretical developments, the text includes a companion set of applications that cover the most representative instances of game-theoretic analysis in economics (e.g., oligopolistic competition, public goods, coordination failures, bargaining, insurance markets, implementation theory, signaling and auctions).
Download Description
This textbook offers a systematic, self-contained account of the main contributions of modern game theory and its applications to economics. Starting with a detailed description of how to model strategic situations, the discussion proceeds by studying basic solution concepts, their main refinements, games played under incomplete information, and repeated games. For each of these theoretical developments, there is a companion set of applications that cover the most representative instances of game-theoretic analysis in economics, e.g. oligopolistic competition, public goods, coordination failures, bargaining, insurance markets, implementation theory, signaling and auctions. The theory and applications covered in the first part of the book fall under the so-called 'classical' approach to game theory, which is founded on the paradigm of players' unlimited rationality. The second part shifts towards topics that no longer abide by that paradigm. This leads to the study of topics such as the interplay between evolution and rationality.
Customer Reviews:
My favorite game theory book.......2005-04-28
I am a PhD student at Cornell studying game theory, and this is by far my favorite non-cooperative game theory book. It's written at a similar level as Fudenberg and Tirole's book but with better examples, explanations, and organization. These strengths make it a very good book to learn advanced game theory. Additionally, it covers popular recent topics such as evolutionary game theory and networks in more detail than in other advanced books (F&T, Osborne & Rubinstein, Myerson, etc.).
With that said, it is not an easy book, requiring strong math skills, etc. If you are looking for a simple introduction, check out the books by Gibbon or Gintis.
Book Description
This book presents an original exposition of general equilibrium theory for advanced undergraduate and graduate-level students of economics. It contains detailed discussions of economic efficiency, competitive equilibrium, the first and second welfare theorems, the Kuhn-Tucker approach to general equilibrium, the Arrow-Debreu model, and rational expectations equilibrium and the permanent income hypothesis. Truman Bewley also treats optimal growth and overlapping generations models as special cases of the general equilibrium model. He uses the model and the first and second welfare theorems to explain the main ideas of insurance, capital theory, growth theory, and social security. It enables him to present a unified approach to portions of macro- as well as microeconomic theory. The book contains problems sets for most chapters.
Book Description
Modern business cycle theory and growth theory uses stochastic dynamic general equilibrium models. Many mathematical tools are needed to solve these models. The book presents various methods for computing the dynamics of general equilibrium models. In part I, the representative-agent stochastic growth model is solved with the help of value function iteration, linear and linear quadratic approximation methods, parameterised expectations and projection methods. In order to apply these methods, fundamentals from numerical analysis are reviewed in detail. Part II discusses methods for solving heterogeneous-agent economies. In such economies, the distribution of the individual state variables is endogenous. This part of the book also serves as an introduction to the modern theory of distribution economics. Applications include the dynamics of the income distribution over the business cycle or the overlapping-generations model. Through an accompanying home page to this book, computer codes to all applications can be downloaded.
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- Not the best presentation of International Trade
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International Trade in Goods and Factor Mobility
Kar-yiu Wong
Manufacturer: The MIT Press
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Advanced International Trade: Theory and Evidence
ASIN: 0262231794 |
Book Description
This up-to-date synthesis of the basic tools and survey results in international trade theory is unique in giving factor mobility equal billing with goods trade, highlighting factor flows in the context of a mainstream approach to trade theory.
The importance of the international flow of factors has grown in recent decades, primarily because of increasing returns, imperfect competition, multinational corporations, and labor migration; theories of factor mobility and trade in goods can no longer be lumped together. Using sophisticated techniques, as well as simple economic intuitions and easy-to-follow diagrams, Kar-yiu Wong systematically presents within unified frameworks all the basic analytical techniques involved in the theories of international trade and factor mobility.
Wong also provides extensive coverage of such issues as interactions between international trade in goods and capital movement, external economies of scale, monopolistic competition and differentiated products, oligopoly, welfare economics of international trade, and policy analysis for various models, and he devotes two separate chapters to multinational corporations and international labor migration. New techniques and approaches to these issues are suggested, and new results obtained for many of them.
For instance, the discussion of intra-industry trade in the presence of positive transport cost and arbitrage is new, as is the systematic examination of the relationship between international trade in goods and factor mobility with external economies of scale, monopolistic competition, and oligopoly. Of particular importance to trade theorists, these issues serve as the link between neoclassical and imperfect-competition models.
Customer Reviews:
Not the best presentation of International Trade.......1999-12-13
This book is horrible. As a student of Professor Wong's I used this book extrensively. The mathematical examples were too general and presented in a confusing manner. The lack of intution behind the examples made his examples even more confusing
Book Description
The Theory of Incomplete Markets provides a unified framework for analyzing the real, financial, and monetary sectors of an economy. It describes an innovative theory that takes into account the fact that in order to coordinate their activities and share their risks, agents are forced by the imperfections in their knowledge and their propensity for opportunistic behavior to trade sequentially and to make only limited contractual commitments into the future. This book studies the consequences of trading with such a sequential and incomplete market structure for the equilibria of an economy: competitive markets no longer provide the ideal way of allocating resources and even with rational expectations monetary policy is nonneutral.
The theory presented in this book retains the simplicity, coherence, and generality that are the hallmarks of traditional general equilibrium theory, while moving the nature of the markets, contracts, and constraints on agent participation into closer conformity with the actual structure of markets observed in the real world.
Students and researchers will appreciate how the book incorporates results from the latest research while remaining accessible to a wide audience. The theory is built from the bottom up, with ample nontechnical motivation and a user-friendly presentation that constantly draws on the reader's economic and geometric intuition. Historical discussions in each chapter help clarify the origins and current limitations of the theory.
This is the first of two volumes. Volume 1 focuses on the role and functioning of financial markets in a competitive setting. Volume 2 will study more general models that combine the real and financial sectors of the economy and depart from a purely competitive analysis. In addition to providing basic insights needed to understand the theory of incomplete markets, this volume provides the essential tools needed to understand the more general analysis of Volume 2.
Customer Reviews:
Unfair.......2002-12-12
The previous review is not only unfair, but also irrelevant. If you do not like the field of GE under incomplete markets, fine. But then you would certainly not be in a position to comment on any book in the field, would you? Moreover, comparing apples and bananas has never been the brightest of ideas: this is not finance, this is GE under incomplete markets.
Esoteric and Useless.......2002-09-10
If you want to learn about finance, go read Cochrane's Asset Pricing. Magill and Quinzii's book starts off from a very broad model, called "General Equilibrium under Incomplete Markets", and by the time that you've understood all the notation, you're basically at the end of their book. Yield curve, Black and Scholes, Continuous time finance, Futures, Corporate Finance... don't think it's in their book. The authors have a perception of financial economics that is ivory tower like, not applicable, and esoteric. But then again, if you want to be theorist, this might be just the right book for you. If you want to be more than an "...", really, go read Cochrane, Hull (on contingent claims), and Merton's Continuous Time Finance (now that's a book (bible) worth spending some time on) and many other high quality textbooks. You will have spent wise money instead of buying an outdated, overrated/pretentious, boring and useless textbook.
The best text on the theory of incomplete markets.......2000-06-05
Magill and Quinzii provides a one-stop shop for masters/PhD level introduction to the theory of incomplete markets. The book covers the main topics in a highly readable manner and with very good examples. It is also the only book in the market that focuses on incomplete markets in such a detailed way. I believe the book belongs in the library of all students of advanced financial economics.
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Differential Information Economies (Studies in Economic Theory)
Manufacturer: Springer
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Binding: Hardcover
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ASIN: 3540214240 |
Book Description
One of the main problems in current economic theory is to write contracts which are Pareto optimal, incentive compatible, and also implementable as a perfect Bayesian equilibrium of a dynamic, noncooperative game. The question arises whether it is possible to provide Walrasian type or cooperative equilibrium concepts which have these properties. This volume contains original contributions on noncooperative and cooperative equilibrium notions in economies with differential information and provides answers to the above questions. Moreover, issues of stability, learning and continuity of alternative equilibria are also examined.
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