Portfolio analytics : an introduction to return and risk measurement
著者
書誌事項
Portfolio analytics : an introduction to return and risk measurement
（Springer texts in business and economics）
Springer, c2013
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注記
Includes bibliographical references (p. 195-196) and index
内容説明・目次
内容説明
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.
目次
1. Introduction.- 2. Return analysis.- 3. Risk Measurement.- 4. Performance Measurements.- 5. Investment Controlling.
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