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I'm interested to know what are the critical reference texts you rely on for portfolio or risk management? I mean those texts that you come back to because they are chock full of insight and know-how. For example:

Bernd Scherer - Portfolio Construction and Risk Budgeting (2005)

Grinold and Kahn - Active Portfolio Management (2002)

Meucci - Risk and Asset Allocation (2010)

Glasserman - Monte Carlo Methods in Financial Engineering (2003)

John Cochrane - Asset Pricing (2005)

Gregory Connor - Portfolio Risk Analysis (2010)

Ruey Tsay - Analysis of Financial Time Series

Friedman - Elements of Statistical Learning

Geweke - Contemporary Bayesian Econometrics and Statistics

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    $\begingroup$ We've closed survey-style book recommendations plenty of times here and on other SE sites. $\endgroup$
    – chrisaycock
    Commented Nov 17, 2011 at 21:50

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Hull - Options, Futures and other Derivatives.

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  • $\begingroup$ The best starter book for finance. $\endgroup$
    – BBroad
    Commented Jan 15, 2013 at 12:15
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Luenberger - Investment Science (1997)

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I think that one is also pretty well-known:

NcNeil, Frei, Embrechts - Quantitative Risk Management

Paul Wilmott - Frequently Asked Questions in Quantitative Finance

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I love Carol Alexander's Market Risk Analysis!

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