Active Portfolio Management 2nd ed. by Grinold & Kahn I have read the first edition. A well-rounded introduction to portfolio management. Though I heard that they publish the book mainly for the promotion of their software.They were in BARRA when the first edition published Modern Investment Management: An Equilibrium Approach by Bob Litterman He and the legendary Fischer Black have co-authored some important papers on asset allocation. This book is a compilation of articles written by Bob Litterman and GSAM's Quantitative Resources Group. I have read some chapters, not bad. Optimal Portfolios by Ralf Korn This is probably so-far the only book mainly devoted to continuous time portfolio optimization. Not as rigorous as Karatzas & Shreve's "Methods of Mathematical Finance." It is more readable. --

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