Portfolio Analytics
An Introduction to Return and Risk Measurement
(Sprache: Englisch)
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.
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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.
Klappentext zu „Portfolio Analytics “
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.
Inhaltsverzeichnis zu „Portfolio Analytics “
1. Introduction.- 2. Return analysis.- 3. Risk Measurement.- 4. Performance Measurements.- 5. Investment Controlling.
Autoren-Porträt von Wolfgang Marty
Dr. Wolfgang Marty is vice president at Credit Suisse. He joined Credit Suisse Asset Management in 1998 as Head Product Engineering. He specializes in Performance Attribution, Portfolio Optimization and Fixed Income in general. Prior to joining Credit Suisse Asset Management, Marty worked for UBS AG in London, Chicago and Zurich. He started his career as an assistant for applied mathematics at the Swiss Federal Institute of Technology. Marty holds a university degree in Mathematics from the Swiss Federal Institute of Technology in Zurich and a doctorate from the University of Zurich. He chairs the method and measure subcommittee of the European Bond Commission (EBC) and is president of the Swiss Bond Commission (OKS). Furthermore he is a member of the Fixed Income Index Commission at the Swiss Stock Exchange and a member of the Index team that monitors the Liquid Swiss Index (LSI).
Bibliographische Angaben
- Autor: Wolfgang Marty
- 2013, 200 Seiten, 14 farbige Abbildungen, 39 Schwarz-Weiß-Abbildungen, Maße: 23,5 cm, Gebunden, Englisch
- Verlag: Springer
- ISBN-10: 3319035088
- ISBN-13: 9783319035086
Sprache:
Englisch
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