Portfolio Analytics - An Introduction to Return and Risk Measurement

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.

List of contents

Introduction.- Return Analysis.- Risk Measurement.- Performance Measurement.- Investment Controlling.

Product details

• Authors: Wolfgang Marty
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 23.08.2016
• EAN: 9783319345253
• ISBN: 978-3-31-934525-3
• No. of pages: 204
• Dimensions: 155 mm x 12 mm x 235 mm
• Weight: 343 g
• Illustrations: XIV, 204 p.
• Series: Springer Texts in Business and Economics
• Subjects: Social sciences, law, business > Business > Economics; B, Economics, finance, business & management, Statistics, Accounting, Finance, macroeconomics, Finance, general, Economics and Finance, Accounting/Auditing, Business Mathematics, Macroeconomics and Monetary Economics, Macroeconomics/Monetary Economics//Financial Economics, Applications of Mathematics, Finance & accounting, Monetary Economics, Probability & statistics, Business mathematics & systems, Economics, Mathematical, Quantitative Finance, Management accounting & bookkeeping, Bookkeeping