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Portfolio Analytics
Wolfgang Marty
其他書名
An Introduction to Return and Risk Measurement
出版Springer, 2015-10-08
主題Business & Economics / Finance / GeneralMathematics / AppliedBusiness & Economics / Economics / MacroeconomicsBusiness & Economics / Business MathematicsBusiness & Economics / StatisticsBusiness & Economics / Accounting / ManagerialBusiness & Economics / GeneralBusiness & Economics / Accounting / GeneralMathematics / Probability & Statistics / General
ISBN33191981229783319198125
URLhttp://books.google.com.hk/books?id=OQC0CgAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋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.