Recommend book

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 
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.
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 
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.
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 
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.
Asset Allocation, by Roger Gibson with Christopher J. Sidoni 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.
Active Portfolio Management, by Richard C. Grinold, Ronald N. Kahn Active Portfolio Management - A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk
by Richard C. Grinold, Ronald N. Kahn  
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.
Equity Management, by Bruce Jacobs and Kenneth Levy 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.
Modern Investment Management, by Bob Litterman 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.
Pioneering Portfolio Management, by David F. Swensen 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."
Global Asset Allocation , by Heinz Zimmermann, Wolfgang Drobetz, Peter Oertmann Global Asset Allocation - New Methods and Applications
by Heinz Zimmermann, Wolfgang Drobetz, Peter Oertmann  
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.