Portfolio Analytics electronic resource An Introduction to Return and Risk Measurement / by Wolfgang Marty.
Material type: TextSeries: Springer Texts in Business and EconomicsPublication details: Cham : Springer International Publishing : Imprint: Springer, 2015Edition: 2nd ed. 2015Description: XIV, 204 p. 59 illus. online resourceContent type: text Media type: computer Carrier type: online resourceISBN: 9783319198125Subject(s): 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/AuditingDDC classification: 332 LOC classification: HG1-HG9999Online resources: Click here to access onlineIntroduction -- Return Analysis -- Risk Measurement -- Performance Measurement -- 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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