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Asset Management Practicum

Suggested Readings

 

Portfolio Management

Bodie, Zvi, Alex Kane, and Alan J. Marcus, Investments, 9th edition. New York: McGraw-Hill, 2011.

Campbell , John Y., and Luis M. Viceira, Strategic Asset Allocation: Portfolio Choice for Long-Term Investors. New York: Oxford University Press, 2002.

Damodaran, Aswath, Investment Fables: Exposing the Myths of "Can't Miss" Investment Strategies. Upper Saddle River: Prentice-Hall, 2004.

Grinold, Richard C. and Ronald N. Kahn, Active Portfolio Management, 2nd edition. New York: McGraw-Hill, 1999.

Litterman, Bob, Modern Investment Management: An Equilibrium Approach. New York: Wiley, 2003.

Michaud, Richard O., Efficient Asset Management. Boston: Harvard Business School Press, 1998.

Maginn, John L., Donald L. Tuttle, Jerald F. Pinto, and Dennis W. McLeavey, Managing Investment Portfolios: A Dynamic Process, 3rd edition. Hoboken: Wiley, 2007.

Qian, Edward E., Ronald H. Hua, and Eric Sorensen, Quantitative Equity Portfolio Management: Modern Techniques and Applications. Boca Raton: Chapman & Hall/CRC, 2007.

 

Investment Policy/Strategy

Ellis, Charles D., Investment Policy: How to Win the Loser's Game. Homewood, IL: Dow Jones-Irwin, 1985.

Mauboussin, Michael J., More Than You Know. New York: Columbia University Press, 2006.

Treynor, Jack L., Treynor on Institutional Investing. Hoboken, NJ: Wiley, 2008.

 

Security Analysis/Valuation/Value Investing

Graham, Benjamin, The Intelligent Investor, New York: HarperCollins Publishers, 1949 (Foreword 2005 by John C. Bogle).

Greenwald, Bruce C. N., Judd Kahn, Paul D. Sonkin, and Michael van Biema, Value Investing: From Graham to Buffett and Beyond. New York: Wiley, 2001.

Klarman, Seth A., Margin of Safety: Risk-Averse Value Investing Strategies for the Thoughtful Investor, New York: HarperCollins, 1991.

Koller, Tim, Marc Goedhart, and David Wessels, Valuation: Measuring and Managing the Value of Companies, 5 th edition. New York: Wiley, 2010.

Madden, Bartley J., CFROI Valuation. Oxford: Butterworth-Heinemann, 1999.

Palepu, Krishna G., Paul M. Healey, and Victor Bernard, Business Analysis and Valuation, 2nd edition. Cincinnati: South-Western, 2000.

Rappaport, Alfred, and Michael J. Mauboussin, Expectations Investing. Boston: Harvard Business School Press, 2001.

 

Accounting

Revsine, Lawrence, Daniel W. Collins, W. Bruce Johnson, and H. Fred Mittelstaedt Financial Reporting & Analysis, 4th Edition. New York: McGraw-Hill/Irwin, 2009.

 

Trading/Execution Costs

Aldridge, Irene, High-Frequency Trading. Hoboken: Wiley, 2010.

Harris, Larry, Trading and Exchanges: Market Microstructure for Practioners, New York: Oxford University Press, 2003.

Hasbrouck, Joel, Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford: Oxford University Press, 2007.

Wagner, Wayne H., The Complete Guide to Securities Transactions: Enhancing Investment Performance and Controlling Costs. New York: Wiley, 1989.

 

Tax Strategies

Scholes, Myron, S., Mark A. Wolfson, Merle Erickson, Edward L. Maydew, and Terry Shevlin, Taxes and Business Strategy, 3rd Edition, New Jersey: Prentice-Hall, 2004.

 

Fixed Income/Credit Risk

Altman, Edward I., and Edith Hotchkiss, Corporate Financial Distress and Bankruptcy, 3rd Edition. Hoboken, NJ: Wiley, 2006.

Chacko, George, Anders Sjöman, Hideto Motohashi, and Vincent Dessain, Credit Derivatives: A Primer on Credit Risk, Modeling and Instruments, Upper Saddle River, NJ: Peason Education, 2006.

Chaplin, Geoff, Credit Derivatives: Risk Management, Trading and Investing, England: Wiley, 2005.

Duffie, Darrell, and Kenneth J. Singleton, Credit Risk: Pricing, Measurement, and Management, Princeton, NJ: Princeton University Press, 2003.

Tuckman, Bruce, and Angel Serrat Fixed Income Securities: Tools for Today’s Markets, 3rd Edition. Hoboken, NJ: Wiley, 2011.

 

Risk Analysis

Christoffersen, Peter F., Elements of Financial Risk Management. San Diego: Academic Press, 2003.

Connor, Gregory, Lisa R. Goldberg, and & Robert A. Korajczyk, Portfolio Risk Analysis. Princeton: Princeton University Press, 2010.

Dowd, Kevin, Measuring Market Risk, 2nd edition. Chichester: Wiley, 2005.

Jorion, Philippe, Value at Risk, 3rd edition. New York: McGraw-Hill, 2006.

Knight, John, and Stephen Satchell, Linear Factor Models in Finance, Burlington, MA: Elsevier, 2005.

Mandelbrot, Benoit, and Richard L. Hudson, The (mis)Behavior of Markets, New York: Basic Books, 2004.

Osband, Kent, Iceberg Risk: An Adventure in Portfolio Theory, New York: Texere, 2002.

Rebonato, Riccardo, Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently, Princeton: Princeton University Press, 2007.

 

Operational Risk

Simmons, Michael, and Elaine Dalgleish, Corporate Actions, Chichester: Wiley, 2006.

 

Behavioral Finance

Kahneman, Daniel, Thinking, Fast and Slow, New York: Farrar, Straus and Giroux, 2011.

Pompian, Michael M., Behavioral Finance and Wealth Management, New York: Wiley, 2006.

Shefrin, Hersh, A Behavioral Approach to Asset Pricing, Burlington, MA: Elsevier Academic Press, 2005.

Shefrin, Hersh, Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing, Boston: Harvard Business School Press, 2000.

Shleifer, Andrei, Inefficient Markets: An Introduction to Behavioral Finance, Oxford: Oxford University Press, 2000.

Thaler, Richard, The Winner’s Curse, Princeton: Princeton University Press, 1992.

 

Neurofinance

Zweig, Jason, Your Money & Your Brain: How the New Science of Neuroeconmics Can Help Make You Rich, New York: Simon & Schuster, 2007.

 

Derivative/Commodities Strategies

McDonald, Robert, Derivatives Market, 3rd Edition. Boston: Pearson Education, 2013.

 

Hedge Funds

Lhabitant, François-Serge, Hedge Funds: Quantitative Insights, England: Wiley, 2004.

Lo, Andrew W., Hedge Funds: An Analytic Perspective, Princeton: Princeton University Press, 2008.

McCrary, Stuart A., How To Create & Manage A Hedge Fund, Hoboken, NJ: Wiley, 2002.

 

Short-Selling

Fabozzi, Frank J., Short Selling: Strategies, Risks, and Rewards, Hoboken, NJ: Wiley, 2004.

Fabozzi, Frank J., and Steven V. Mann, Securities Finance: Securities, Lending and Repurchase agreements, Hoboken, NJ: Wiley, 2005.

 

Spreadsheet Models

Holden, Craig W., Spreadsheet Modeling in Investments, New Jersey: Prentice-Hall, 2002.

Jackson, Mary, and Mike Staunton, Advanced Modelling In Finance and Using Excel and VBA, England: Wiley, 2001.

Winston, Wayne, Financial Models using Simulation and Optimization, Ithaca, NY: Palisade Corp., 2008.

 

Statistical Methods for Finance

Alexander, Carol, Market Models. Chichester: Wiley, 2001.

Alexander, Carol, Practical Financial Econometrics. Chichester: Wiley, 2008.

Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay, The Econometrics of Financial Markets. Princeton: Princeton University Press, 1997.

Maddala, G. S., and C. R. Rao, Statistical Methods in Finance. Volume 14 of Handbooks of Statistics. Amsterdam: Elsevier Science, 1996.

Tsay, Ruey S., Statistical Methods in Analysis of Financial Time Series. Hoboken: Wiley, 2005.

 

Just for Fun (The above readings are plenty of fun – but these are just for fun).

Bernstein, Peter, L., Against the Gods: The Remarkable Story of Risk, New York: Wiley, 1996.

Bernstein, Peter L., Capital Ideas: The Improbable Origins of Modern Wall Street. New York: The Free Press, 1992.

Brown, Aaron, The Poker Face of Wall Street. New York: Wiley, 2007.

Buffett, Warren E., and Lawrence A. Cunningham, The Essays of Warren Buffett : Lessons for Corporate America, second edition. The Cunningham Group, 2008.

Crack, Timothy Falcon, Heard on The Street: Quantitative Questions from Wall Street Job Interviews, 10th edition, Timothy Crack, 2007.

Lewis, Michael, Moneyball: The Art of Winning an Unfair Game, New York: W.W. Norton, 2003.

Patterson, Scott, The Quants, New York: Crown Business, 2010.

Schwed, Fred Jr., Where are the Customers Yachts? New York: Wiley, 1940

Taleb, Nassim Nicholas, Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets, 2nd Edition. New York: Random House, 2005.

Taleb, Nassim Nicholas, The Black Swan: The Impact of the Highly Improbable. New York: Random House, 2007.

  last modified 7/1/2010
©2001 Kellogg School of Management, Northwestern University