Asset Allocation and Portfolio Management Books
Portfolio management involves both science and art. The books we recommend below cover these aspects of asset allocation, investment management, and portfolio construction for individual investors and professional asset managers.
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The Intelligent Asset Allocator
- How to Build Your Portfolio to Maximize Returns and Minimize Risk
by William Bernstein McGraw-Hill education If you could only read one investment book in your life, this is the one it should be! We trade with discretionary funds but invest long-term by following the time-honored asset allocation methods described in this book. Perhaps the most important lesson that would have saved many when the 1990s bubble burst is how historically, by allocating only 20 percent to bonds instead of stocks, risk is substantially reduced with only a modest reduction in expected returns. |
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Pioneering Portfolio Management
- An Unconventional Approach to Institutional Investment
by David F. Swensen Free Press Arguably the best book ever written on managing institutional portfolios, Pioneering Portfolio Management offers the knowledge that author David F. Swenson accumulated over a distinguished career managing the Yale University endowment. The extraordinary and consistent returns gained through innovative investment initiatives start with an emphasis on playing defense: "If you lose 50%, it will take a 100% win just to get even." The book describes traditional asset classes, but its description of alternative asset classes is a major strength. It discusses the limitations of mean-variance portfolio analysis and potential solutions. It is also a great read with many quotable lines including this nugget on Jim Cramer: "Educated at Harvard College and Harvard Law School, Cramer squanders his extraordinary credentials and shamelessly promotes inappropriate investment advice to an all-too-gullible audience." |
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All About Asset Allocation
by Richard A. Ferri McGraw Hill Education This book gives very specific and actionable advice on reasonable asset allocations for typical individual investors saving for retirement. This second edition of Richard Ferri's book offers sample portfolios and guidance on actions to take approaching and during retirement years. Ferri argues for focusing on what one can control: costs, taxes, and risk. |
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Asset Allocation
- Balancing Financial Risk
by Roger Gibson with Christopher J. Sidoni McGraw-Hill Education In what is becoming a classic book on investing, the 5th edition of Roger Gibson's book (now with co-author Christopher J. Sidoni) provides a disciplined strategy for limiting risks and achieving investment goals through changing market environments. Reviewing US captial market investment performance through history, Gibson explains why and how asset allocation works. This edition includes the following new topics: how well multiple-asset-class investing performed during the stock market's "lost decade," methods for forecasting long-term asset class returns, and the challenges involved in tactical asset allocation strategies using insights from behavioral finance. |
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Active Portfolio Management
- A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk
by Richard C. Grinold, Ronald N. Kahn McGraw-Hill For those willing to work through the math and applied exercises, we consider this to be the best book on quantitative portfolio management out there! The book presents an innovative process for applying economics, econometrics, and operations research to solve real-world investment problems and find superior profit opportunities. We have worked through many of the exercises in the Grinold and Kahn book, and find them to be excellent. Active Portfolio Management is worth of deep study. |
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Asset Management
- A Systematic Approach to Factor Investing (Financial Management Association Survey and Synthesis)
by Andrew Ang Oxford University Press Directed more at the academically inclined and professional asset managers, this book highly readable, refreshingly opinionated, and accessible. Andrew Ang, a financial economist and professor at Columbia Business school synthesizes newer ideas from current financial research in this acclaimed book. Includes chapters on investing over the life-cycle, factor theory, factor investment, and delegated investing. |
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Quantitative Equity Portfolio Management
- An Active Approach to Portfolio Construction and Management (McGraw-Hill Library of Investment and Finance)
by Ludwig B. Chincarini and Daehwan Kim McGraw-Hill education This book aims to cover the whole spectrum of active quantitative equity portfolio management, from both theoretical and practical perspectives. It goes step-by-step through the process of building a quantitative equity portfolio. The book considers a range of factor-based quantitative approaches, including investment methods and stock screens of some well-known investors. Chapters on rebalancing, transactions costs, taxes, and the pitfalls and benefits of backtesting cover ground that is often given short-shrift in other treatments. All-in-all, this is very welcome how-to book for those wanting to build their own quantitiative approach to portfolio management. |
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The Art of Asset Allocation
- Asset Allocation Principles and Investment Strategies for Any Market
by David M. Darst McGraw-Hill According to the foreward by Barton Biggs, good asset allocation can result in a portfolio achieving higher returns than the sum of its parts. By astute asset allocation, General Electric's pension fund achieved total returns in excess of sector returns, whereas returns on the average individual investment plan has been less than the returns of the individual sectors. The writing is wordy, and parts are over-the-top like busy conceptual diagrams 5+ pages of people thanked. But the book is valuable for its illumination of the basic principles and mechanics of asset allocation, behavioral underpinnings, and the essential characteristics of 17 major asset classes. Readers can benefit from the matrices and worksheets designed to apply the methods in the book on an ongoing basis. David Darst was Director and Chief Investment Strategist of Morgan Stanley Wealth Management for 17 years, and continues on as a member of the Morgan Stanley Wealth Management Global Investment Committee. |
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Modern Portfolio Theory and Investment Analysis
by Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N. Goetzmann Wiley Now in its 9th edition, this book examines portfolio construction and investment analysis from a theoretical standpoint and is more suitable for the student or advanced practitioner rather than the typical individual investor. Three of the four authors are professors at New York University (and the fourth at Yale), where the book has been used for courses in portfolio theory including modern portfolio theory and general equilibrium models (capital asset pricing models and arbitrage pricing models). The new edition adds material on the causes of the financial crisis of 2008, factor-based investing, and current research and applications of Bayesian methods in finance. |
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The Theory and Practice of Investment Management
- Asset Allocation, Valuation, Portfolio Construction, and Strategies (Frank J. Fabozzi Series)
by Frank J. Fabozzi and Harry M. Markowitz Wiley This edited volume includes contributions from numerous authors, so common stock and bond portfolio management topics are covered from many perspectives. Notable chapters on modeling price dynamics, building long-short equity portolios, and bond portfolio strategies for outperforming a benchmark. |
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Behavioral Portfolio Management
by Thomas C. Howard Harriman House Ltd. Behavioral portfolio management aims to exploit pricing disortions caused by the emotional behavior of crowds to guide the construction of investment portfolios. The book focuses on measureable and persistent behavioral factors and how to use the information in seeking to build long-horizon wealth. Pointing out that 91% of diversification power comes with only 20 holdings. Driven by the typical manager's incentive avoid underperforming a benchmark, minimize tracking error by holding a hundred or more stocks comes at a high price on expected returns relative to the incremental reduction in risk. Howard advocates choosing a strategy in which you have a potential edge and concentrate portfolio construction that even if it leads to concentration in a particular country or industry. |
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Equity Management
- The Art and Science of Modern Quantitative Investing
by Bruce Jacobs and Kenneth Levy McGraw-Hill education In this scholarly work, Bruce Jacobs and Kenneth Levy bring together the numerous and wide-ranging articles they have written on quantitative stock selection and portfolio management. The collection is introduced in prefaces to the first and second editions by Nobel Prize Laureate in Economics Harry M. Markowitz. Among the notable chapters: The Law of One Alpha, Smart Beta versus Smart Alpha, and Residual Risk: How Much is Too Much? Non-scholar readers will benefit from the practical investment experience that Jacobs and Levy have garnered over more than three decades. |
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A Practitioner's Guide to Asset Allocation
by William Kinlaw, Mark P. Kritzman, and David Turkington Wiley Finance In this important new book, Kinlaw, Kritzman, and Turkington challenge a great deal of received wisdom regarding asset allocation with analytics rigor and evidence. Much of it involves clarifying the role and benefits of mean-variance optimization, and restoring its place in light of many critiques that have emerged against it. Chapters are organized to take on nuggets that they deem to be falicies, one at a time: that 90% of a portfolio's performance is due to asset allocation, that time diversifies risk, and that equally weighted portfolios are superior to optimized portfolios. One chapter is devoted to rebalancing and describes a dynamic programming algorithm as well as quadratic heuristics to determine a portfolio's optimal rebalancing schedule. |
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Modern Investment Management
- An Equilibrium Approach
by Bob Litterman Wiley Finance Written by a creator of the Black-Litterman asset allocation model, this book introduces the investment management techniques used by Goldman Sacks asset management for its clients. With several chapters contributed by other members of Goldman Sachs Quantitative Resources Group, the book weighs in at more than 600 pages! The "equilibrium approach" the book advocates recognizes the world as a complex system subjected to a constant barrage of random shocks. Such shocks knock the system away from equilibrium and create potentially exploitable profit opportunities. |
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Applied Financial Macroeconomics and Investment Strategy
- A Practitioner's Guide to Tactical Asset Allocation
by Robert T. McGee Palgrave Macmillan Connections between macroeconomic thinking and financial markets are not as tight as they should be. This book makes those connections clearer in practical terms, bringing together insights from finance and macroeconomics that are useful for asset allocation decision making. It addresses which sectors do well in which parts of the business cycle, when do equities beat bonds and vice versa. The final chapter discusses lessons learned from the 2008-2009 financial crisis. |
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Portfolio Construction and Analytics
- (Frank J. Fabozzi Series)
by Dessislava A. Pachamanova and Frank J. Fabozzi Wiley This book covers its subject from soup to nuts, and is up-to-date with regard to data-analytic developments. It starts with chapters on probability and statistics, through monte carlo simulation and optimization. Then covers portfolio theory, factor models, equity portfolio management, fixed-income portfolio management. Later sections cover the use of derivatives in portfolio management. |
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Quantitative Portfolio Optimisation, Asset Allocation and Risk Management
- A Practical Guide to Implementing Quantitative Investment Theory (Finance and Capital Markets Series)
by Mikkel Rasmussen Palgrave Macmillan This comprehensive treatement of portfolio optimization is targetted to investment professionals with the requisite technical background. Advocates quantitative portfolio construction techniques as tools to deal for information overload and cognitive biases. It covers mean-variance analysis, and integrating risk management into the investment process. Value-At-Risk and Extreme Value Theory are developed and Rasmussen discusses how to use them together. |
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Investment Analysis and Portfolio Management
by Frank K. Reilly and Keith C. Brown South-Western College Pub Sweeping in its coverage of finance and investment topics, this excellent textbook is now in its tenth edition. It would be hard to chose a better starting point for serious study of investing. Reilly and Brown provide background material often lacking in books on portfolio management, such as the structure and functioning of financial markets, how market indexes work, accounting concepts for interpreting financial statements, macroeconomic analyses of industries, a description of the uses and challenges of technical analysis, and analysis of derivatives. Can be used in undergraduate classes, but there is plenty here to augment graduate-level study as well. |
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Investment Leadership and Portfolio Management
- The Path to Successful Stewardship for Investment Firms
by Brian D. Singer and Greg Fedorinchik Wiley Finance With all the scandal that sadly emerges from the financial industry, the development of ethical leadership and good governments are priorities. Unlike most books on this list, this one focuses on how to successfully lead investment management firms. Based on decades of combined leadership, Singer and Fedorinchik document that characteristics associated with successful stewardship of client capital, and the behavior of the firms' leaders and investment teams, with an emphasis on the importance of culture and integrity. |
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Global Asset Allocation
- New Methods and Applications
by Heinz Zimmermann, Wolfgang Drobetz, Peter Oertmann Wiley Targetted to financial professionals, Global Asset Allocation thoroughly examines a wide range of asset pricing models, and examines how sophisticated global asset allocation strategies can be used for portfolio diversification. The book considers the effects of globalization and macroeconomic forces on the portfolio investment landscape. It explores empirical studies of global asset allocation strategies. It also investigates whether global sector diversification strategies produce risk-return patterns different from asset allocation rules defined in terms of national markets. This comprehensive guide also analyzes the performance of strategies implementing active style rotation strategies. A chapter on the Black-Litterman model discusses how it can be used to improve global asset allocation decisions. |