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Asset Allocation and Portfolio Management Books

Portfolio management involves both science and art. The books we recommend below cover these aspects of asset allocation and portfolio construction for individual investors and professional asset managers.
The Intelligent Asset Allocator, by William Bernstein The Intelligent Asset Allocator - How to Build Your Portfolio to Maximize Returns and Minimize Risk
by William Bernstein 
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.
Strategic Asset Allocation, by John Y. Campbell, Luis M. Viceira Strategic Asset Allocation
by John Y. Campbell, Luis M. Viceira  
Oxford University Press
Capital Account, by Edward Chancellor, Marathon Asset Management Capital Account - A Money Manager's Reports on a Turbulent Decade
by Edward Chancellor, Marathon Asset Management 
Collection of commentaries covering the excesses of the late 1990s.
The Art of Asset Allocation, by David M. Darst The Art of Asset Allocation - Asset Allocation Principles and Investment Strategies for Any Market
by David M. Darst 
McGraw-Hill
Modern Portfolio Theory and Investment Analysis, by Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N. Goetzmann Modern Portfolio Theory and Investment Analysis
by Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N. Goetzmann 
Getting Started in Asset Allocation, by Eric Gelb and William Bresnan Getting Started in Asset Allocation
by Eric Gelb and William Bresnan 
Asset Allocation, by Roger Gibson Asset Allocation - Balancing Financial Risk
by Roger Gibson 
Active Portfolio Management, by Richard C. Grinold, Ronald N. Kahn Active Portfolio Management - A Quantitative Approach for Producing Superior Returns...
by Richard C. Grinold, Ronald N. Kahn  
McGraw-Hill
...and Selecting Superior Returns and Controlling Risk
Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities, by Lakhbir Hayre (Editor) Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities
by Lakhbir Hayre (Editor) 
Wiley
Equity Management, by Bruce Jacobs and Kenneth Levy Equity Management - Quantitative Analysis for Stock Selection
by Bruce Jacobs and Kenneth Levy 
Modern Investment Management, by Bob Litterman Modern Investment Management - An Equilibrium Approach
by Bob Litterman 
Wiley
A Random Walk Down Wall Street, by Burton Malkiel A Random Walk Down Wall Street
by Burton Malkiel 
Mean-Variance Analysis in Portfolio Choice and Capital Markets, by Harry M. Markowitz, G. Peter Todd, William F. Sharpe Mean-Variance Analysis in Portfolio Choice and Capital Markets
by Harry M. Markowitz, G. Peter Todd, William F. Sharpe 
Wiley
Efficient Asset Management, by Richard O. Michaud Efficient Asset Management - A Practical Guide to Stock Portfolio Optimization and Asset Allocation
by Richard O. Michaud 
Oxford University Press
The Complete Guide to Managing a Portfolio of Mutual Funds (IAFP), by Ron Rutherford The Complete Guide to Managing a Portfolio of Mutual Funds (IAFP)
by Ron Rutherford 
The Brainwashing of the American Investor, by Steven R. Selengut The Brainwashing of the American Investor - The Book That Wall Street Does Not Want You to Read
by Steven R. Selengut 
Valuing Wall Street, by Andrew Smithers and Stephen Wright Valuing Wall Street - Protecting Wealth in Turbulent Markets
by Andrew Smithers and Stephen Wright 
"Most books about the stock market tell you how to make money. This one ... will show you how to avoid losing it," begins this smart, blunt, cautionary tale based on Nobel laureate James Tobin's 1969 "q ratio," which posits, among other things, that no matter how bullish a market gets, it's bound to snap back into place at some point--and those who don't brace for the reversal will feel its sting. The authors, one a prominent asset-allocation adviser and the other a former head of macroeconomic forecasting for the Bank of England, warn that it's only a matter of time before the overexuberant market of the early 21st-century topples like its counterparts in 1929 and 1968. Here they set out to show why and how this will happen--as well as to tell stockholders what they should and should not do if they want to emerge intact. After making a cogent new argument in defense of the still-controversial q ratio, the authors show how it plays into principles of stock-market risk and return, how it has determined the value of Wall Street in the past and will continue to do so, and how to apply it as a practical investing tool. They do a neat job of parsing the good and bad news about stocks as a sound investment for the future, and of what to do and not do with one's money come the inevitable bear market. From there, they get down to the nitty-gritty of valuing the stock market, providing four key tests for any indicator of value and explaining how to fold in such factors as the dividend yield, the price-earnings ratio, the adjusted price-earnings multiple, yield ratios, and yield differences. They wrap up with a look at what they call "the q debate" among both economists and stockbrokers, and finally, they apply the q ratio specifically to the U.S. economy, rebuking Alan Greenspan's Federal Reserve for its role in what they see as the coming U.S. bubble burst. With its plain English, helpful illustrated charts, vivid examples from history, and even the occasional employment of the likes of Alice in Wonderland to prove its points, Valuing Wall Street should be accessible to those with a working understanding of the market and economic principles. All told, this book is not so much a how-to as it is a theoretical forecast whose tidings investors might want heed as we near what Smithers and Wright warn are rough years ahead. --Timothy Murphy (Amazon.com)
Pioneering Portfolio Management, by David F. Swensen Pioneering Portfolio Management - An Unconventional Approach to Institutional Investment
by David F. Swensen 
Quantitative Analysis for Investment Management, by Robert A., Jr Taggart Quantitative Analysis for Investment Management
by Robert A., Jr Taggart 
Pearson Education POD
Global Asset Allocation , by Heinz Zimmermann, Wolfgang Drobetz, Peter Oertmann Global Asset Allocation - New Methods and Applications
by Heinz Zimmermann, Wolfgang Drobetz, Peter Oertmann  
Wiley