Bob Litterman

How I Became a Quant: Insights From 25 of Wall Street's Elite

by Richard R. Lindsey and Barry Schachter  · 30 Jun 2007

one day I actually met Fischer Black. I’d been invited over by a group of Goldman equity traders, technicians all. Previously, I’d met Bob Litterman, Fischer’s collaborator, at a Berkeley finance seminar, and called to let him know I was coming to his building. He decided to have his

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discussion. There was silence around the table. The Goldman bankers were clearly not interested in getting into that discussion. Their eyes came to rest on Bob Litterman, the one who worked most closely with Fischer. “Well, Fischer, that’s right. But the banks want to diversify.” “Oh, well, if they want to

Chaos Kings: How Wall Street Traders Make Billions in the New Age of Crisis

by Scott Patterson  · 5 Jun 2023  · 289pp  · 95,046 words

. * * * Taleb wasn’t the only expert in systemic risk applying lessons learned on Wall Street to the increased threats facing the world. In the 2010s, Bob Litterman, who once managed one of the largest stock portfolios in the world for New York investment giant Goldman Sachs, turned his decades of risk management

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kings: When the risk is existential, you’ve got to panic early. CHAPTER 19 IT’S WAY PAST TIME Heavy rain splashed the windshield of Bob Litterman’s Tesla as he maneuvered through light traffic on the New Jersey Turnpike. It was December 6, 2014, a Saturday. Litterman and his wife, Mary

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one of the most dysfunctional deliberative bodies of modern times. The very people he was addressing that day in March 2020: the United States Congress. * * * Bob Litterman had always been something of a mental chameleon, moving from one field to another with relative ease in his academic career. He started off studying

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ever. “Globally, demand for fossil-based power has declined while demand for renewable power has risen.” Few were as unsurprised by the accelerating shift as Bob Litterman. Indeed, he’d bet millions on it. In April 2021, Litterman once again faced ranks of lawmakers in the U.S. Senate. The venue this

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its target of cutting greenhouse emissions in half from 2005 levels by the end of the decade. Investors in the green power sector such as Bob Litterman celebrated as clean-energy stocks took off. Not included in the bill, to Litterman’s chagrin—a carbon tax. * * * At 7:14 p.m. Eastern

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. Thanks to Rupert Read, always encouraging and responsive, and Yaneer Bar-Yam, who patiently fielded my questions about complexity theory with insightful advice and guidance. Robert Litterman, an extremely busy man, never found himself too busy to respond to calls or emails. Also thanks to Didier Sornette, another endlessly busy person, who

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still reason” https://necsi.edu/climate-models-and-precautionary-measures. CHAPTER 19: IT’S WAY PAST TIME This chapter is based on multiple interviews with Robert Litterman, as well as an account of his career at the Minneapolis Federal Reserve. https://www.minneapolisfed.org/article/2019/interview-with

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-robert-litterman. “Today, my testimony will focus on The Green Swan” https://www.democrats.senate.gov/climate/hearings/climate-crisis-committee-to-hold-hearing-on-economic-risks-

Capital Ideas Evolving

by Peter L. Bernstein  · 3 May 2007

the Goldman staff gradually learned how to take advantage of Black’s quirky methods and personality. One day in 1986, Black interviewed a man named Bob Litterman for a position in fixed-income research. Litterman was a Ph.D. from the University of Minnesota who also had had a stint of teaching

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more and more difficult to beat. The half-lives of our strategies [are] shrinking.” David Swensen at Yale acknowledges his “huge respect for efficient markets.” Bob Litterman at Goldman Sachs asserts that “I am not worried that markets are fully efficient— yet. But they are becoming more efficient all the time, and

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. Black, Fischer, 1989. “Universal Hedging: Optimizing Currency Risk and Reward in International Equity Portfolios,” Financial Analysts Journal, July/August, pp. 16–22. Black, Fischer, and Robert Litterman, 1992. “Global Portfolio Optimization,” Financial Analysts Journal, September/October, pp. 28–43. Brock, Horace, 2006a. “Reconceptualizing ‘Market Risk’ from Scratch,” New York: Strategic Economic Decisions

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Securities Market,” National Bureau of Economic Research, Working Paper No. 11851. Gottlieb, Jason, 2003. “Risk Management and Risk Budgeting at the Total Fund Level,” in Bob Litterman and the Quantitative Resources Group of Goldman Sachs Asset Management, Modern Investment Management: An Equilibrium Approach, Hoboken, NJ: John Wiley & Sons, pp. 211–228. bern

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, Martin, and Anthony Bova, 2005b. “Beta-Based Asset Allocation: A Summary,” Morgan Stanley, November 30. Litterman, Bob, 2003. “Beyond Equilibrium: The Black-Litterman Approach,” in Bob Litterman and the Quantitative Resources Group of Goldman Sachs Asset Management, Modern Investment Management: An Equilibrium Approach, Hoboken, NJ: John Wiley & Sons, pp. 76–88. Litterman

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any kind of priority to their contributions: Marvin Damsma, Russ Fuller, Fred Grauer, Bill Gross, Blake Grossman, Jeff Hord, Ron Kahn, Daniel Kahneman, Martin Leibowitz, Bob Litterman, Andrew Lo, Harry Markowitz, Robert C. Merton, Steve Ross, Paul A. Samuelson, Myron Scholes, Bill Sharpe, Robert Shiller, Larry Siegel, David Swensen, Richard Thaler, and

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of the Capital Asset Pricing Model to create an entirely new design for the process of institutional asset allocation. (Photo by Bachrach.) In 1986, when Bob Litterman was applying for a job at Goldman Sachs, Fischer Black asked him whether an econometrician could contribute anything to Wall Street. Litterman had plenty to

Mathematics of the Financial Markets: Financial Instruments and Derivatives Modelling, Valuation and Risk Issues

by Alain Ruttiens  · 24 Apr 2013  · 447pp  · 104,258 words

Modern Investment Theory – International Edition. E. JURCZENKO, B. MAILLET (eds), Multi-Moment Asset Allocation and Pricing Models, John Wiley & Sons, Ltd, Chichester, 2006, 233 p. Bob LITTERMAN, Modern Investment Management – An Equilibrium Approach, John Wiley & Sons, Inc., Hoboken, 2003, 624 p. William F. SHARPE, Investors and Markets – Portfolio Choices, Asset Prices, and

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, Springer, 2008, 374 p. Raymond M. LEUTHOLD, Joan C. JUNKUS, Jean E. CORDIER, The Theory and Practice of Futures Markets, Stipes Publishing, 1999, 410 p. Bob LITTERMAN, Modern Investment Management – An Equilibrium Approach, John Wiley & Sons, Inc., Hoboken, 2003, 624 p. T. LYNCH, J. APPLEBY, Large Fluctuation of Stochastic Differential Equations: Regime

Adaptive Markets: Financial Evolution at the Speed of Thought

by Andrew W. Lo  · 3 Apr 2017  · 733pp  · 179,391 words

, reports, and accounts told to the public during and since the crisis (an illuminating example is the public lecture on the Quant Meltdown given by Bob Litterman, who sat on the Goldman Sachs risk committee during that time).31 Various participants in the events of August 2007 have looked at our simulation

Nerds on Wall Street: Math, Machines and Wired Markets

by David J. Leinweber  · 31 Dec 2008  · 402pp  · 110,972 words

one day I actually met Fischer Black. I’d been invited over by a group of Goldman equity traders, technicians all. Previously, I’d met Bob Litterman, Fischer’s collaborator, at a Berkeley finance seminar, and called to let him know I was coming to his building. He decided to have his

Trading and Exchanges: Market Microstructure for Practitioners

by Larry Harris  · 2 Jan 2003  · 1,164pp  · 309,327 words

Hull Billy Johnson Rick Ketchum Rick Kilcollin Ray Killian Howard Kramer Ken Kramer Arthur Leavitt Charlie Lebens Marty Leibowitz Dave Leinweber Rich Lindsey Evelyn Liszka Bob Litterman Bill Lupien Bernie Madoff Peter Madoff Steven Malin David Malmquist Tim McCormick Dick McDonald Seth Merrin Dick Michaud Mark Minister Nate Most Annette Nazareth Gene

Portfolio Design: A Modern Approach to Asset Allocation

by R. Marston  · 29 Mar 2011  · 363pp  · 28,546 words

(June), pp. 663–682. Bernstein Wealth Management Research, 2006, Hedge Funds: Too Much of a Good Thing?, Bernstein Global Wealth Management (June). Black, Fischer, and Robert Litterman, 1992, “Global Portfolio Optimization,” Financial Analysts Journal (September-October), pp. 28–43. Bodnar, Gordon, Bernard Dumas, and Richard Marston, 2004, “Cross-Border Valuation: The International

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, Joseph, Christopher Mayer, and Todd Sinai, 2006, “Superstar Cities,” working paper. Harvard Management Company Endowment Report, 2009, “Message from the CEO”, September. He, Guangliang, and Robert Litterman, 1999, “The Intuition Behind BlackLitterman Model Portfolios,” Goldman Sachs Investment Management Division. Hennessee Group LLC, 2007, “Sources of Hedge Fund Capital,” The 2007 Manager Survey

What Happened to Goldman Sachs: An Insider's Story of Organizational Drift and Its Unintended Consequences

by Steven G. Mandis  · 9 Sep 2013  · 413pp  · 117,782 words

0.475% 1,258,841 66,718,552 88,597,201 Richard G. Sherlund 0.475% 1,258,841 66,718,552 88,597,201 Robert Litterman 0.475% 1,258,841 66,718,552 88,597,201 Robert V. Delaney 0.475% 1,258,841 66,718,552 88,597,201

The Crisis of Crowding: Quant Copycats, Ugly Models, and the New Crash Normal

by Ludwig B. Chincarini  · 29 Jul 2012  · 701pp  · 199,010 words

a useful history of recent financial crises, but a treasure trove of insightful quotations from interviews with many luminaries among modern financial practitioners and academics.” —Robert Litterman, Former Partner and Head of Risk Management at Goldman Sachs; co-inventor of the Black-Litterman Model “Chincarini returns to the proverbial crime scene of

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of the past several decades, with insights from many of the former academics turned participants, as well as a very useful compilation of lessons learned. Robert Litterman Former Partner and Head of Risk Management, Goldman Sachs; co-inventor of the Black-Litterman Model Preface My initial motivation for writing this book was

Expected Returns: An Investor's Guide to Harvesting Market Rewards

by Antti Ilmanen  · 4 Apr 2011  · 1,088pp  · 228,743 words

Beyond Diversification: What Every Investor Needs to Know About Asset Allocation

by Sebastien Page  · 4 Nov 2020  · 367pp  · 97,136 words

Investing Amid Low Expected Returns: Making the Most When Markets Offer the Least

by Antti Ilmanen  · 24 Feb 2022

Money and Power: How Goldman Sachs Came to Rule the World

by William D. Cohan  · 11 Apr 2011  · 1,073pp  · 302,361 words