Portfolio Analytics
An Introduction to Return and Risk Measurement
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Beschreibung
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 book introduces return measurement and goes on to compare the time-weighted rate of return with the money-weighted rate of return. The author proceeds to modern portfolio theory, showing how constraints interfere with construction of optimized portfolios.
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.
Explains how to analyze key variables for constructing a portfolio
Provides a rich collection of examples to assist the student in following the theory
Equips the reader with essential performance measurement know-how extending to advanced research topics
Autor*in
Wolfgang Marty
Themen in »Portfolio Analytics«
Efficient Frontier Investment Controlling MWR Modern Portfolio Theory Performance measurement TWR