Portfolio Analytics
An Introduction to Return and Risk Measurement
Nonfiction, Science & Nature, Mathematics, Applied, Business & Finance, Finance & Investing, Finance
| Author: | Wolfgang Marty | ISBN: | 9783319035093 |
| Publisher: | Springer International Publishing | Publication: | February 19, 2014 |
| Imprint: | Springer | Language: | English |
| Author: | Wolfgang Marty |
| ISBN: | 9783319035093 |
| Publisher: | Springer International Publishing |
| Publication: | February 19, 2014 |
| 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.
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.
