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Portfolio Analytics [electronic resource] : An Introduction to Return and Risk Measurement / by Wolfgang Marty.

By: Contributor(s): Material type: TextTextSeries: Springer Texts in Business and EconomicsPublisher: Cham : Springer International Publishing : Imprint: Springer, 2013Description: XII, 200 p. 53 illus., 14 illus. in color. online resourceContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9783319035093
Subject(s): Additional physical formats: Printed edition:: No titleDDC classification:
  • 332 23
LOC classification:
  • HG1-HG9999
Online resources:
Contents:
1. Introduction -- 2. Return analysis -- 3. Risk Measurement -- 4. Performance Measurements -- 5. Investment Controlling.
In: Springer eBooksSummary: This textbook first introduces the reader to return measurement and then goes on to compare the time-weighted rate of return (TWR) with the money-weighted rate of return (MWR). To emphasize the importance of risk in conjunction with return, different tracking errors are analyzed and ex-post versus ex-ante risk figures are compared. The author then proceeds to modern portfolio theory (MPT) and illustrates how the constraints interfere substantially in the construction of optimized portfolios. As a conclusion, the book provides the reader with all the essential aspects of investment controlling.
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1. Introduction -- 2. Return analysis -- 3. Risk Measurement -- 4. Performance Measurements -- 5. Investment Controlling.

This textbook first introduces the reader to return measurement and then goes on to compare the time-weighted rate of return (TWR) with the money-weighted rate of return (MWR). To emphasize the importance of risk in conjunction with return, different tracking errors are analyzed and ex-post versus ex-ante risk figures are compared. The author then proceeds to modern portfolio theory (MPT) and illustrates how the constraints interfere substantially in the construction of optimized portfolios. As a conclusion, the book provides the reader with all the essential aspects of investment controlling.

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