Best books (textbooks) for theory

[chasely]

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.

[dad2000]

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

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

[richard]

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.

[stratton]

Third the Ilmanen book.

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

Paul

[btenny]

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

[Default User BR]

The Intelligent Asset Allocator, William Bernstein.


Brian

[Valuethinker]

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.

[dan23]

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.

[Valuethinker]

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.

[stlutz]

+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.

[afan]

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.

[grayfox]

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.

[chasely]

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.

[Valuethinker]

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.

[Akiva]

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.

[billjohnson]

+4 on Ilmanen.

+5 viewtopic.php?t=78508

[data_junkie]

+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

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

[Akiva]

+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).

[dratkinson]

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.