Web sites are all very well; but for a thorough treatment of theory, textbooks are best. Here are some we can recommend:
Bernd Scherer, Portfolio Construction and Risk Budgeting
Risk Books; ISBN 1899332448
An up-to-date introduction to portfolio construction techniques, including mean variance, lower partial moments, resampling, scenario and Bayesian approaches
Kevin Dowd, Measuring Market Risk
Wiley; ISBN 0471521744
A practical overview of the state-of the-2002-art in VaR and ETL (Expected Tail Loss) estimation. Includes CD with simulations.
Janette Rutterford, Introduction to Stock Exchange Investment
2nd Edition; Macmillan; ISBN 033359388
An introduction to investment, with sound quantitative background. Concentrates on UK institutions and explains the meanings of the figures published in the Financial Times.
Elton and Gruber, Modern Portfolio Theory and Investment Analysis
5th Edition; Wiley; ISBN 0471007439
A good general text. Covers quantitative analysis of individual securities as well as the theory of optimally combining securities into portfolios and performance measurement
Peter L. Bernstein, Against the Gods: The remarkable story of risk
Wiley; ISBN 0471295639
Despite being great mathematicians and keen gamblers, the Ancient Greeks, says Bernstein, had no concept of numerical probability. This very readable history records the efforts of Bernoulli, Bayes, Fermat and others in developing the theories upon which modern quantitative finance takes for granted.
Grinold and Kahn, Active Portfolio Management
2nd edition;Irwin; ISBN 0070248826
Two experienced practitioners explain how quantitative techniques can be applied to the active management of portfolios.
John C. Hull, Options Futures and Other Derivatives
3rd Edition; Prentice Hall; ISBN 0132643677
One of the most popular introductory texts on financial derivatives. Covers Black-Scholes option valuation and interest rate valuation models.
Harry M. Markowitz, Portfolio Selection
2nd Edition; Blackwell; ISBN 1557861080
A classic text by the father of modern portfolio theory. First published in 1959, it gives a rigorous justification of the principles on which risky assets should be selected.
Richard O. Michaud, Efficient Asset Management
HBS Press; ISBN 0875847439
Shows how sampling errors can have extreme effects on risk estimates in mean variance optimisation and proposes a solution called 'mixed estimation'.
Pindyck and Rubinfeld, Econometric Models and Economic Forecasts
3rd Edition; McGraw-Hill; ISBN 0071008667
A general guide to statistics and estimation techniques, this is a valuable reference for those who wish to build their own financial models or understand those built by others.
Kahneman, Slovic and Tversky, Judgement under uncertainty: Heuristics and biases
3rd Edition; Prentice Hall; ISBN 0132643677
Although not specifically about finance, this book raises important questions about the idea of the 'rational investors' and their behaviour - including you!
William G.Bain in association with the WM Company, Investment Performance Measurement
Woodhead Publishing, ISBN 1 85573 195 9
Considering the number of people employed in the performance measurement industry, it is amazing that this is one of only two books that seem to be currently available on the subject. Academics take note !
David Spaulding, Measuring Investment Performance
McGraw-Hill, ISBN 0 7863 1177 0
And this is the other one, and probably the one you will prefer if you are based or selling into North America.
Philippe Jorion, Value at Risk
McGraw-Hill, ISBN 0 7863 0848 6
Although subtitled "The New Benchmark for Controlling Derivatives Risk", there's a lot in here for the general fund manager too, and quite accessibly presented.