Portfolio Analytics

An Introduction to Return and Risk Measurement

Inbunden, Engelska, 2015

Av Wolfgang Marty

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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.

Produktinformation

Utgivningsdatum2015-10-16
Mått155 x 235 x 18 mm
Vikt470 g
FormatInbunden
SpråkEngelska
SerieSpringer Texts in Business and Economics
Antal sidor204
Upplaga2
FörlagSpringer International Publishing AG
ISBN9783319198118

Tillhör följande kategorier

Tillämpad matematik inom Naturvetenskap och teknik
Matematisk statistik inom Naturvetenskap och teknik
Finansiering inom Ekonomi och ledarskap
Nationalekonomi inom Ekonomi och ledarskap
Makroekonomi inom Ekonomi och ledarskap
Redovisning inom Ekonomi och ledarskap
Affärsförhandlingar inom Ekonomi och ledarskap

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.