GSAM book lifts lid on portfolio management
GLOBAL – Goldman Sachs Asset Management is to lift the lid on some of its portfolio management techniques with the publication of book next month.
Goldman says that GSAM’s Bob Litterman and his quantitative resources team “explain and demystify modern investment theory as applied by GSAM” in the new book – “Modern Investment Management: An Equilibrium Approach”.
The authors’ research “underpins the asset allocation and investment decision-making of many of the world's largest 100 pension funds”. GSAM has around 28.7 billion euros in European pension fund assets under management.
Litterman, a Goldman managing director, was the co-developer of the Black-Litterman global asset allocation model.
“The book demonstrates how even in today's volatile investment climate, investors can create portfolios that deliver consistent, high-quality returns by using the latest developments in the field of Portfolio Theory,” Goldman says.
Litterman said: “The equilibrium theory permeates the investment decisions of Goldman Sachs Asset Management's Quantitative Resources Group. In this book, we hope to transform this theory - whose origins are academic - into a clear, intuitive and useful approach for institutional and individual investors."
The book is published on September 4 by Wiley, price 51.95 pounds (73.54 euros). ISBN: 0-471-12410-9