Portfolio Analytics An Introduction to Return and Risk Measurement /

• Main Author: Marty, Wolfgang (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2015.
• Edition: 2nd ed. 2015.
• Series: Springer Texts in Business and Economics,
• Subjects: Finance.; Accounting.; Bookkeeping.; Business mathematics.; Economics, Mathematical.; Statistics.; Macroeconomics.; Finance, general.; Quantitative Finance.; Macroeconomics/Monetary Economics//Financial Economics.; Business Mathematics.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Accounting/Auditing.
• Physical Description: XIV, 204 p. 59 illus. online resource.
• ISBN: 9783319198125
• ISSN: 2192-4333

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.