Portfolio Analytics
An Introduction to Return and Risk Measurement| By: | Wolfgang Marty |
| Publisher: | Springer Nature |
| Print ISBN: | 9783319035086 |
| eText ISBN: | 9783319035093 |
| Edition: | 0 |
| Copyright: | 2013 |
| Format: | Reflowable |
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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.