Portfolio Analytics

An Introduction to Return and Risk Measurement

Nonfiction, Science & Nature, Mathematics, Applied, Business & Finance, Finance & Investing, Finance
Cover of the book Portfolio Analytics by Wolfgang Marty, Springer International Publishing
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Author: Wolfgang Marty ISBN: 9783319198125
Publisher: Springer International Publishing Publication: October 8, 2015
Imprint: Springer Language: English
Author: Wolfgang Marty
ISBN: 9783319198125
Publisher: Springer International Publishing
Publication: October 8, 2015
Imprint: Springer
Language: English

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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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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