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Фундаментальные идеи финансового мира. Эволюция
Работы Гарри Марковица и Юджина Файма, революционные взгляды Франко Модильяни и Мертона Миллера, теории Фишера Блэка, Майрона Шоулза и Роберта Мертона появились еще в 1950-1970-е гг., однако долго не получали признания со стороны практиков. В наше время без них трудно представить мир финансов. Они кардинальным образом изменили характер финансовых рынков, инвестиционные стратегии, привели к появлению новых финансовых инструментов. Автор анализирует процесс развития фундаментальных идей финансовой теории и их влияние на практику современного инвестиционного мира. Книга ориентирована на студентов и преподавателей экономических вузов, финансистов и широкий круг читателей, интересующихся вопросами применения финансовой теории на практике.
Hardcover
First published May 4, 2007
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About the author
Peter L. Bernstein
46 books265 followersFounder and President of Peter L. Bernstein, Inc., which he established in 1973 as economic consultants to institutional investors and corporations around the world.
In 1951, after teaching economics at Williams College and a five-year stint in commercial banking, Peter became Chief Executive of a nationally–known investment counsel firm, where he personally managed billions of dollars of individual and institutional portfolios. The assets under management at the firm had grown more than tenfold by the time he resigned in 1973 to launch Peter L. Bernstein, Inc.
Peter was the first Editor of The Journal of Portfolio Management in 1974, a widely-read scholarly journal for investment managers and academics in the field of finance and investments. He is now Consulting Editor of the Journal.
He served for many years on the Visiting Committee to the Economics Department at Harvard University, as a Trustee and member of the Finance Committee of the College Retirement Equities Fund (CREF), and as a Trustee of the Investment Management Workshop sponsored by the Association for Investment Management & Research’(AIMR).
He is the author of nine books in economics and finance plus countless articles in professional journals such as The Harvard Business Review and the Financial Analysts Journal, and in the popular press, including The New York Times, The Wall Street Journal, Worth Magazine, and Bloomberg publications. He has contributed to collections of articles published by Perseus and FT Mastering, among others
He lectures widely throughout the United States and abroad on risk management, asset allocation, portfolio strategy, and market history.
Peter graduated from Harvard College with a degree in economics, magna cum laude. He was also elected to Phi Beta Kappa.
After serving as a member of the research staff at the Federal Reserve Bank of New York and in a civilian capacity at the Office of Strategic Services in Washington, he joined the armed services and rose to the rank of captain in the Air Force in World War II, assigned to the Office of Strategic Services in the European theater.
He taught economics for many years as an adjunct professor on the Graduate Faculty of the New School for Social Research in New York.
Peter has received three major awards from the Association for Investment Management & Research (AIMR), the key organization for investment managers and analysts:
The Award for Professional Excellence, AIMR's highest award,
The Graham & Dodd Award, given annually for the outstanding article in the Financial Analysts Journal for the previous year, and
The James R. Vertin Award, recognizing individuals who have produced a body of research notable for its relevance and enduring value to investment professionals.
In 1951, after teaching economics at Williams College and a five-year stint in commercial banking, Peter became Chief Executive of a nationally–known investment counsel firm, where he personally managed billions of dollars of individual and institutional portfolios. The assets under management at the firm had grown more than tenfold by the time he resigned in 1973 to launch Peter L. Bernstein, Inc.
Peter was the first Editor of The Journal of Portfolio Management in 1974, a widely-read scholarly journal for investment managers and academics in the field of finance and investments. He is now Consulting Editor of the Journal.
He served for many years on the Visiting Committee to the Economics Department at Harvard University, as a Trustee and member of the Finance Committee of the College Retirement Equities Fund (CREF), and as a Trustee of the Investment Management Workshop sponsored by the Association for Investment Management & Research’(AIMR).
He is the author of nine books in economics and finance plus countless articles in professional journals such as The Harvard Business Review and the Financial Analysts Journal, and in the popular press, including The New York Times, The Wall Street Journal, Worth Magazine, and Bloomberg publications. He has contributed to collections of articles published by Perseus and FT Mastering, among others
He lectures widely throughout the United States and abroad on risk management, asset allocation, portfolio strategy, and market history.
Peter graduated from Harvard College with a degree in economics, magna cum laude. He was also elected to Phi Beta Kappa.
After serving as a member of the research staff at the Federal Reserve Bank of New York and in a civilian capacity at the Office of Strategic Services in Washington, he joined the armed services and rose to the rank of captain in the Air Force in World War II, assigned to the Office of Strategic Services in the European theater.
He taught economics for many years as an adjunct professor on the Graduate Faculty of the New School for Social Research in New York.
Peter has received three major awards from the Association for Investment Management & Research (AIMR), the key organization for investment managers and analysts:
The Award for Professional Excellence, AIMR's highest award,
The Graham & Dodd Award, given annually for the outstanding article in the Financial Analysts Journal for the previous year, and
The James R. Vertin Award, recognizing individuals who have produced a body of research notable for its relevance and enduring value to investment professionals.
Ratings & Reviews
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Displaying 1 - 16 of 16 reviews
December 19, 2016
There really are very few books that walk through the history of modern financial theory. Most just teach the math. That's a real problem because so much of the math is then out of context of the minds that formulated and what problem they were solving for.
This book is a must read for anyone practicing quantitative finance. It's important to know how long that theory has existed and what it was and not solving for at the time. You'll still have to put it in the context of what was and was not possible with the available computing power, existing languages, and additionally consider what it must have been like without such concepts.
This book is a must read for anyone practicing quantitative finance. It's important to know how long that theory has existed and what it was and not solving for at the time. You'll still have to put it in the context of what was and was not possible with the available computing power, existing languages, and additionally consider what it must have been like without such concepts.
December 6, 2018
Полностью соответствует своему названию. Единственный минус - многие примеры устарели, какие-то из грандов былых времен померкли.
September 22, 2021
While the first two books focused more on the theory & newfound ideas of risk, book three provides stories of actual implementation for portfolio managers.
4 star for those interested in the topic, probably a 2 for those uninterested.
4 star for those interested in the topic, probably a 2 for those uninterested.
July 30, 2011
I read this book along with "The Myth of Rational Markets" by Justin Fox - a great parallel read on the same topic - most recommended. Peter Bernstein's book is rich in history, voluminous in case study details (particularly in its sections on GS, Barclays Global, TIAA-CREF etc) but just not critical enough.
The balance provided by behavioural finance subject discussions in the initial chapters does not go far enough. The book matter-of-factly mentions many of the efficient market theory weaknesses but does not go into discussing their impact.
The book is certainly a must read as one of a collection for anyone interested in the topic. There is not enough written on the history of evolution of efficient market ideas and this book provides a great starting point. Its discussion of the personalities involved and interviews with some of them adds to the value tremendously. Yet, the book falls short of being a classic - may be because the history of this chapter in humanity is anything but over.
The balance provided by behavioural finance subject discussions in the initial chapters does not go far enough. The book matter-of-factly mentions many of the efficient market theory weaknesses but does not go into discussing their impact.
The book is certainly a must read as one of a collection for anyone interested in the topic. There is not enough written on the history of evolution of efficient market ideas and this book provides a great starting point. Its discussion of the personalities involved and interviews with some of them adds to the value tremendously. Yet, the book falls short of being a classic - may be because the history of this chapter in humanity is anything but over.
March 21, 2021
The book ( along with the prequel Capital Ideas - Improbable origins of Modern Wall Street ) gives a very thoughtful and interesting account of various quantitative (often Nobel prize winning) theories and their role in shaping modern wall street. The author has interviewed virtually every Nobel prize winner in financial economics and share unique insights on their theories and their applications in the model world. On the theoretical side it touches on diversification, efficient markets, CAPM, portfolio constructions, derivatives & Black-Scholes. On the practical side it gives several insights into active v/s passive investments ( and how theories CAPM played a part ), index funds, portable alpha, alpha-beta separation, and finally ends with the Black-Litterman model. The author has interviewed practitioners at Barclays, Yale Endowment Funds, Barra Inc, Goldman Sachs Asset Management giving novel insights on the central role that theoretical ideas play in managing billions of dollars in their funds.
January 30, 2025
A well-written account of the main academic ideas within finance and how they have evolved uptil 2006. Given the subject matter, one would be hard-pressed to make it less dense Bernstein does.
It is not without logical faults and some evidence of confirmation bias - which is natural when the book is essentially a defence of its predecessor, Capital Ideas.
The book gives a good overview of the ideas, the critique of the ideas and how the ideas have evolved. However, it is not unbiased and one can tell.
It truly is amazing how high-IQ people can abandon good sense in search if precision. And, in failing to recognize finance is not a hard science as all the main variable inputs to the math formulas is all dependent on complex social science, they also fall subject to the complex adaptive system the market really is adapting in a way that creates because people assume the market is efficient and put all money in index funds, ironically creating market inefficiencies. In this respect, the book is an interesting case on how we wound up here.
It is not without logical faults and some evidence of confirmation bias - which is natural when the book is essentially a defence of its predecessor, Capital Ideas.
The book gives a good overview of the ideas, the critique of the ideas and how the ideas have evolved. However, it is not unbiased and one can tell.
It truly is amazing how high-IQ people can abandon good sense in search if precision. And, in failing to recognize finance is not a hard science as all the main variable inputs to the math formulas is all dependent on complex social science, they also fall subject to the complex adaptive system the market really is adapting in a way that creates because people assume the market is efficient and put all money in index funds, ironically creating market inefficiencies. In this respect, the book is an interesting case on how we wound up here.
September 8, 2018
This one comes after Against the Gods, the remarkable history of risk by the same author. A very useful book for any associate in pension funds investment consulting as it describes the context behind all the numbers that an analyst commonly sees while clicking on Morningstar or Bloomberg terminal. It includes many historical references very valuable in case you would like to get deeper into the usage and application of the product. Because, yes, these tools are products offered by different vendors of analytics. 5 out of 5 because Peter Bernstein has it all in his books.
November 25, 2019
I like the content of the book. Good coverage on how idea of portfolio diversification, risk evaluation is evolving with time. Book has several references to previous book "Capital Ideas: The Improbable Origins of Modern Wall Street" that not only works as reference, but also build a connection to the evolution process. At the end, it seems no one able to figure out silver bullet and it seems a lot of hard work and luck is needed to find the alpha, for most of the common investors simply riding on the beta through index fund may still be the best option.
May 31, 2025
Solid book that paints a good picture of the state of the finance industry prior to the financial meltdown of 2007. I was shocked at how late a lot of these efficient market ideas came into the foreground--which also explains why most older financiers and professors are more hesitant to believe them.
January 30, 2025
I am waiting for an update version
August 23, 2025
An informative set of profiles on prominent figures within quantitative finance. Its a good concept and it's well written. The book is an excellent snapshot of where finance was in the early 2000s.
June 26, 2014
This is a sequel of sorts to the author's 1992 "Capital Ideas," but it also functions nicely as a sequel to the Fischer Black biography I just finished. Both earlier books trace the rise of financial theory from Harry Markowitz's 1952 article showing how diversification maximizes returns while reducing risks, through to the Black-Scholes model for pricing stock options. The loci of all these ideas were the Capital Asset Pricing Model (CAPM) and the efficient market hypothesis, both of which seemed to claim that no one could consistently beat the market. The irony of this book is it explains how these ideas about efficient markets spawned an entire world of traders and dealers who used those models to find out exactly how they could beat the market.
At the Yale Endowment Fund David Swenson realized alternative assets like venture capital and hedge funds were often excluded from definitions of "the market," so investors could benefit from over-weighting these. Martin Leibowitz, the absurdly prolific writer and trader at Salomon Brothers and TIAA-CREF, found out that almost all variability in a portfolio came from equities and other assets that varied in their returns along with equities, and thus moving funds to assets like Real Estate Investment Trusts could provide a return that didn't tend to co-vary with stocks. By diversifying in this way he could both lower risks and increase total returns. Even Harry Markowitz himself moved to Wall Street and found that market distortions like the Federal Reserve's Regulation T, which limits short selling, offered inefficient opportunities to exploit.
Here, all the revolutionaries who came to bury Wall Street's work as mere "interior decoration," as James Tobin called it, ended up instead creating a new one. While once they thought dealers only feasted parasitically on an efficient market, now they joined the feast. Their insights that the real value of stocks or bonds is not due to their individual value but how much or how little they "co-varied" with the whole market, often called the asset's "beta," seemed to offer an exciting cornucopia of new investment possibilities. Finding the market's inefficiencies with regard to particular asset's value also allowed them to find more returns than the market would seem to warrant, often called a stock's "alpha." If one wonders how "searching for alpha" became the cynosure of modern stock traders, this book explains it. The other irony of this book though is that by finding all these inefficiencies (such as the under-appreciation of alternative assets), these traders and academics gradually eliminated them, and thus made the market further approach the original theory they all started with.
Of course hanging over this entire book, published in 2007, is the specter of the financial crisis. How efficient were all these financial engineers in the end one has to ask, however important their ideas were? Far too much of this book is also taken up with Bernstein's interviews with these men, and many of these only repeat the same points. The book constantly references back to "Capital Ideas" and is thus something of more an addendum to that book than a true sequel. Yet once again, the ideas here are shown to have both surprising corollaries and relevance, and to have shaped our world more than we would think.
At the Yale Endowment Fund David Swenson realized alternative assets like venture capital and hedge funds were often excluded from definitions of "the market," so investors could benefit from over-weighting these. Martin Leibowitz, the absurdly prolific writer and trader at Salomon Brothers and TIAA-CREF, found out that almost all variability in a portfolio came from equities and other assets that varied in their returns along with equities, and thus moving funds to assets like Real Estate Investment Trusts could provide a return that didn't tend to co-vary with stocks. By diversifying in this way he could both lower risks and increase total returns. Even Harry Markowitz himself moved to Wall Street and found that market distortions like the Federal Reserve's Regulation T, which limits short selling, offered inefficient opportunities to exploit.
Here, all the revolutionaries who came to bury Wall Street's work as mere "interior decoration," as James Tobin called it, ended up instead creating a new one. While once they thought dealers only feasted parasitically on an efficient market, now they joined the feast. Their insights that the real value of stocks or bonds is not due to their individual value but how much or how little they "co-varied" with the whole market, often called the asset's "beta," seemed to offer an exciting cornucopia of new investment possibilities. Finding the market's inefficiencies with regard to particular asset's value also allowed them to find more returns than the market would seem to warrant, often called a stock's "alpha." If one wonders how "searching for alpha" became the cynosure of modern stock traders, this book explains it. The other irony of this book though is that by finding all these inefficiencies (such as the under-appreciation of alternative assets), these traders and academics gradually eliminated them, and thus made the market further approach the original theory they all started with.
Of course hanging over this entire book, published in 2007, is the specter of the financial crisis. How efficient were all these financial engineers in the end one has to ask, however important their ideas were? Far too much of this book is also taken up with Bernstein's interviews with these men, and many of these only repeat the same points. The book constantly references back to "Capital Ideas" and is thus something of more an addendum to that book than a true sequel. Yet once again, the ideas here are shown to have both surprising corollaries and relevance, and to have shaped our world more than we would think.
October 5, 2008
Smug and clubby, but still a valuable survey.
The author, Peter L. Bernstein, definitely has been around, and shares with us his access to his friends to some of the great thinkers and innovators in finance. If you want to know about the core philosophies of Goldman Sachs or Barlclays Global Investors, Bernstein has friends in high places there, and he tells you what they themselves have to say on the topic.
But, Bernstein's style is quirky and at times distracting. He is obsessed with one particular footnote* to such an extent that you might want to make a drinking game out of it. And there are so many quotation marks around so many of his friends' bon mots, at times it feels like the Zagat guide to modern portfolio theory.
Nevertheless, I did learn that, like me, Andrew Lo was influenced by Isaac Asimov's Foundation series. That is classic sci-fi nerd cred that is not easy to come by.
*"Unless otherwise specified, all quotations are from personal interviews or personal correspondence."
The author, Peter L. Bernstein, definitely has been around, and shares with us his access to his friends to some of the great thinkers and innovators in finance. If you want to know about the core philosophies of Goldman Sachs or Barlclays Global Investors, Bernstein has friends in high places there, and he tells you what they themselves have to say on the topic.
But, Bernstein's style is quirky and at times distracting. He is obsessed with one particular footnote* to such an extent that you might want to make a drinking game out of it. And there are so many quotation marks around so many of his friends' bon mots, at times it feels like the Zagat guide to modern portfolio theory.
Nevertheless, I did learn that, like me, Andrew Lo was influenced by Isaac Asimov's Foundation series. That is classic sci-fi nerd cred that is not easy to come by.
*"Unless otherwise specified, all quotations are from personal interviews or personal correspondence."
August 10, 2017
It is not clear who Bernstein's intended audience for this book is. He runs through several complex trading strategies without clearly describing how the underlying derivative products work while in other examples he holds the reader's hand explaining some more basic ideas. Most of the stories about the academics in this book are well known within the economics circle, but the stories about the investment managers were new (at least to me). The author leans heavily on the idea of equilibrium towards the end of the book, but I am not sure that he clearly understands what it is or why it is important. It would have been instructive for the author to make a reference to Lucas (1976) or even to read it.
July 23, 2025
The fact that Bernstein leans heavily on case studies makes Capital Ideas more accessible for a non-finance audience. That said, there's still enough jargon to leave up barriers, as well as lulls throughout. Nonetheless, certainly exposed me to some interesting financial ideas.
Rating: 3
Rating: 3
July 2, 2019
Solid work if this is your bag. A good book. Bernstein's classic is "Against the Gods: The Remarkable Story of Risk," one of the best business books I have ever read.
Displaying 1 - 16 of 16 reviews