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Portfolio Analytics
An Introduction To Return And Risk Measurement
- EAN:
9783319345253
- ISBN:
3319345257
- Pagine:
- 220
- Formato:
- Paperback
- Lingua:
- Tedesco
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Descrizione 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.
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