Portfolio Analytics: An Introduction to Return and Risk Measurement (Springer Texts in Business and Economics) - Hardcover
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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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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.
Biografía del autor:
Dr. Wolfgang Marty is Investment Strategist at AgaNola. Between 2015 and 1998 he was working with Credit Suisse in Zurich. He joined as Head of Product Engineering and later became Head of Portfolio Analytics. From 1989 - 1998 he worked in London and Chicago. He is specialized in performance measurement, fixed income portfolio attribution and portfolio optimization. He has been committed to actively developing the fixed-income markets for many years. In particular it pursues the interests of the Swiss market participants in the European Bond Commission (EBC). Moreover, Wolfgang Marty is a member of the Executive Committee of the EBC, as well as of the Bond Index Commission of SIX Exchange.
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- VerlagSpringer
- Erscheinungsdatum2015
- ISBN 10 3319198114
- ISBN 13 9783319198118
- EinbandTapa dura
- Auflage2
- Anzahl der Seiten220
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Portfolio Analytics : An Introduction to Return and Risk Measurement
Verlag:
Springer International Publishing
(2015)
ISBN 10: 3319198114
ISBN 13: 9783319198118
Neu
Hardcover
Anzahl: 1
Anbieter:
Bewertung
Buchbeschreibung Buch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Artikel-Nr. 9783319198118
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Portfolio Analytics
Verlag:
Springer International Publishing
(2015)
ISBN 10: 3319198114
ISBN 13: 9783319198118
Neu
Hardcover
Anzahl: > 20
Anbieter:
Bewertung
Buchbeschreibung Zustand: New. Artikel-Nr. 31549213
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