Portfolio Analytics [electronic resource] : An Introduction to Return and Risk Measurement / by Wolfgang Marty.
Material type: TextSeries: 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
- computer
- online resource
- 9783319035093
- Finance
- Accounting
- Bookkeeping
- Business mathematics
- Economics, Mathematical
- Statistics
- Macroeconomics
- Finance
- Finance, general
- Quantitative Finance
- Macroeconomics/Monetary Economics//Financial Economics
- Business Mathematics
- Statistics for Business/Economics/Mathematical Finance/Insurance
- Accounting/Auditing
- 332 23
- HG1-HG9999
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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