Best books (textbooks) for theory

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Best books (textbooks) for theory

Postby chasely » Fri Mar 15, 2013 11:32 am

I'm looking to get a little more into the theory side of investing in my "free time". Can anyone suggest some good books on investing theory, ideally self-contained? I'm competent in math and can handle more applied-math texts as well.

Thanks for your help.
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Re: Best books (textbooks) for theory

Postby dad2000 » Fri Mar 15, 2013 11:45 am

IMHO, "Expected Returns" (Ilmanen) is a great book that provides broad coverage.

I'll warn you that it's not light reading.
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Re: Best books (textbooks) for theory

Postby richard » Fri Mar 15, 2013 12:03 pm

dad2000 wrote:IMHO, "Expected Returns" (Ilmanen) is a great book that provides broad coverage.

I'll warn you that it's not light reading.

It's an excellent book and well worth the effort.
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Re: Best books (textbooks) for theory

Postby stratton » Fri Mar 15, 2013 1:38 pm

Third the Ilmanen book. :wink:

Figuring out how to invest in some of the "premia" is a whole different matter.

Paul
...and then Buffy staked Edward. The end.
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Re: Best books (textbooks) for theory

Postby btenny » Fri Mar 15, 2013 4:54 pm

I find that this book on Asset Allocation by Roger Gibson to be very good on lots of things including theory and returns by asset class. See here.

http://www.amazon.com/Asset-Allocation- ... 0071478094

Bill
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Re: Best books (textbooks) for theory

Postby Default User BR » Sat Mar 16, 2013 1:56 am

The Intelligent Asset Allocator, William Bernstein.


Brian
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Re: Best books (textbooks) for theory

Postby Valuethinker » Sat Mar 16, 2013 8:36 am

chasely wrote:I'm looking to get a little more into the theory side of investing in my "free time". Can anyone suggest some good books on investing theory, ideally self-contained? I'm competent in math and can handle more applied-math texts as well.

Thanks for your help.


http://www.amazon.com/Financial-Economi ... 0131856154

is the best textbook. Integrates what we know about finance in a relatively straightforward manner.
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Re: Best books (textbooks) for theory

Postby dan23 » Sat Mar 16, 2013 10:40 am

I remember using and liking an edition of the textbook Investments by Bodie Kane & Marcus for a financial economics class. It shares an author (Bodie) with the textbook recommended by Valuethinker. I don't know how they compare.
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Re: Best books (textbooks) for theory

Postby Valuethinker » Sat Mar 16, 2013 11:14 am

dan23 wrote:I remember using and liking an edition of the textbook Investments by Bodie Kane & Marcus for a financial economics class. It shares an author (Bodie) with the textbook recommended by Valuethinker. I don't know how they compare.


They serve different purposes.

The reason I like Bodie & Merton is that I wish I had had it in undergrad (too long ago ;-)). We used the old stalways Brealey & Myers; Copeland & Weston. Both are business school finance textbooks.

Bodie & Merton zooms out and looks at financial *economics*. Integrates the two spheres. Just about every other finance book you will ever read requires an understanding of what they are talking about, and they integrate them so nicely.

To study investment as a subject, Bodie, Kane & Marcus is a very good book.
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Re: Best books (textbooks) for theory

Postby stlutz » Sat Mar 16, 2013 11:56 am

+4 on Ilmanen. By far the best summary of current "standard" thinking right now. Covers a huge range of topics and it's something you'll refer back to in the future (assuming you really find this stuff interesting!). After that, if you're looking for a contrarian view, I'd suggest either of Falkenstein's books.

Also, reading the various papers that get linked here also provides some great reading.
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Re: Best books (textbooks) for theory

Postby afan » Sat Mar 16, 2013 5:52 pm

As a follow on to Bodie, you might look at Duffie's Dynamic Asset Pricing Theory. It is quite mathematical, but you seem to want that. From reading sections of Cochrane's Asset Pricing, he covers the topics, but if working on your own, people say that the large number of typos can be fatal.
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Re: Best books (textbooks) for theory

Postby grayfox » Sat Mar 16, 2013 8:37 pm

chasely wrote:I'm looking to get a little more into the theory side of investing in my "free time". Can anyone suggest some good books on investing theory, ideally self-contained? I'm competent in math and can handle more applied-math texts as well.

Thanks for your help.


I'll mention this book

Statistics and Data Analysis for Financial Engineering by David Ruppert, Springer-Verlag.

I haven't gotten a copy yet, but it is on my todo list.
Тише едешь, дальше будешь. (Quieter you-go, further you-will-be.)
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Re: Best books (textbooks) for theory

Postby chasely » Sun Mar 17, 2013 10:21 am

Sounds like the Ilmanen text is a good place to start, then I can start my way through the rest.

Stats and data analysis are part of my school curriculum, I'll skim over the Ruppert book and see how much overlap there is.
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Re: Best books (textbooks) for theory

Postby Valuethinker » Sun Mar 17, 2013 11:22 am

chasely wrote:Sounds like the Ilmanen text is a good place to start, then I can start my way through the rest.

Stats and data analysis are part of my school curriculum, I'll skim over the Ruppert book and see how much overlap there is.


There is enough math in Copeland, Weston & Shastri to keep most people happy, it's a senior undergrad/ first term Phd textbook.

But that is not the point. The point is to understand the underlying logic. And I think the Bodie book is an excellent introduction to that.

Understand the totality of modern finance *then* focus on the portfolio management, security pricing etc. Try to borrow Bodie from the library, get a look. Or pick up a used copy-- it was in first edition for a long time, so they should be around.
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Re: Best books (textbooks) for theory

Postby Akiva » Mon Mar 18, 2013 1:39 pm

chasely wrote:I'm looking to get a little more into the theory side of investing in my "free time". Can anyone suggest some good books on investing theory, ideally self-contained? I'm competent in math and can handle more applied-math texts as well.

Thanks for your help.


How in depth do you want to go? Are you talking about learning more about "Bogleheads ideas", or do you mean you want to learn more about portfolio theory and asset pricing theory? These are very different things.
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Re: Best books (textbooks) for theory

Postby billjohnson » Mon Mar 18, 2013 2:04 pm

stlutz wrote:+4 on Ilmanen.

+5 viewtopic.php?t=78508
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Re: Best books (textbooks) for theory

Postby data_junkie » Wed Mar 20, 2013 12:53 pm

billjohnson wrote:
stlutz wrote:+4 on Ilmanen.

+5 viewtopic.php?t=78508


+6 - Ilmanen is probably the broadest/most practical/most current book out there for those not interested in academic texts


Akiva wrote:
chasely wrote:I'm looking to get a little more into the theory side of investing in my "free time". Can anyone suggest some good books on investing theory, ideally self-contained? I'm competent in math and can handle more applied-math texts as well.

Thanks for your help.


How in depth do you want to go? Are you talking about learning more about "Bogleheads ideas", or do you mean you want to learn more about portfolio theory and asset pricing theory? These are very different things.


+1 on Cochrane if you are into asset pricing
Also, Active Portfolio Management by Grinold & Kahn is a classic on portfolio theory and management
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Re: Best books (textbooks) for theory

Postby Akiva » Fri Mar 22, 2013 11:54 am

data_junkie wrote:+1 on Cochrane if you are into asset pricing
Also, Active Portfolio Management by Grinold & Kahn is a classic on portfolio theory and management


I think Qian, Hua, and Sorensen's Quantitative Equity Portfolio Management is better than Grinold & Kahn. (Though the latter is worth reading b/c it's a classic).
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Re: Best books (textbooks) for theory

Postby dratkinson » Fri Mar 22, 2013 7:13 pm

I have one copy in good condition of Security Analysis, Principles and Technique by Graham, Dodd, Cottle, '62 edition. It's yours if you want it.
d.r.a, not dr.a.
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