What books should any quantitative portfolio manager or risk manager have as reference?

Question

I'm interested to know what are the critical reference texts you rely on for portfolio or risk management? I mean those texts that you come back to because they are chock full of insight and know-how. For example:

Bernd Scherer - Portfolio Construction and Risk Budgeting (2005)

Grinold and Kahn - Active Portfolio Management (2002)

Meucci - Risk and Asset Allocation (2010)

Glasserman - Monte Carlo Methods in Financial Engineering (2003)

John Cochrane - Asset Pricing (2005)

Gregory Connor - Portfolio Risk Analysis (2010)

Ruey Tsay - Analysis of Financial Time Series

Friedman - Elements of Statistical Learning

Geweke - Contemporary Bayesian Econometrics and Statistics

We've closed survey-style book recommendations plenty of times here and on other SE sites. — chrisaycock, Nov 17 '11 at 21:50

score 7 · Answer 1 · edited Nov 17 '11 at 09:13

7

Hull - Options, Futures and other Derivatives.

edited Nov 17 '11 at 09:13

SRKX

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answered Nov 17 '11 at 08:55

Owe Jessen

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The best starter book for finance. – BBroad Jan 15 '13 at 12:15

score 4 · Answer 2 · answered Nov 17 '11 at 16:40

4

Luenberger - Investment Science (1997)

answered Nov 17 '11 at 16:40

strimp099

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SRKX · Answer 3 · 2011-11-17T09:07:12.037

3

I think that one is also pretty well-known:

NcNeil, Frei, Embrechts - Quantitative Risk Management

Paul Wilmott - Frequently Asked Questions in Quantitative Finance

edited Nov 17 '11 at 09:07

answered Nov 17 '11 at 08:53

SRKX

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score 3 · Answer 4 · answered Nov 17 '11 at 17:34

3

I love Carol Alexander's Market Risk Analysis!

answered Nov 17 '11 at 17:34

Heavywood

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What books should any quantitative portfolio manager or risk manager have as reference?

4 Answers4

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