Written by a team of employees at Goldman Sachs Asset Management, this lengthy book explores a variety of mostly theoretical topics related to investment management. Lead author Litterman helped develop the Black-Litterman international CAPM model, so that model plays a central role throughout much of the book. Other topics include:

estimating equity premiums,

asset allocation,

risk budgeting,

covariance matrix estimation

return attribution,

manager selection,

hedge funds,

private wealth management.

There are 32 chapters in all, most written by individual employees. The book assumes no prior knowledge, starting off with basic concepts such a hedging and diversification. While technical topics are addressed in most chapters, they are "dumbed down" for a non-technical audience. Instead of succinct mathematical derivations, there are pages and pages of wandering discussions. As with so much Wall Street "research," chapters can be vague about details.

I think the book will satisfy few people. Technical readers will be frustrated by all the verbiage and lack of depth. Less technical readers probably won't be interested in international CAPM or covariance matrix estimation techniques no matter how they are packaged.

A recurring theme of the book is Goldman Sachs' equilibrium approach to investment management. Since most of portfolio theory assumes market equilibrium, it is never quite clear what distinguishes this equilibrium approach from standard portfolio theory. The authors don't describe how investment management might be performed in a non-equilibrium manner, so the distinction is never clear. They acknowledge that an equilibrium assumption is inconsistent with the possibility of active returns, so they work around the equilibrium approach when necessary.