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Business & Management - Finance & Banking | Portfolio Analytics

Portfolio Analytics

An Introduction to Return and Risk Measurement

Marty, Wolfgang

2013, XII, 200 p. 53 illus., 14 illus. in color.

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  • Explains how to analyze key variables for constructing a portfolio
  • Provides a rich collection of examples to assist the student in following the theory
  • Equips the reader with essential performance measurement know-how extending to advanced research topics

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.

Content Level » Graduate

Keywords » Efficient Frontier - Investment Controlling - MWR - Modern Portfolio Theory - Performance measurement - TWR

Related subjects » Accounting, Auditing & Taxation - Business, Economics & Finance - Finance & Banking - Financial Economics - Quantitative Finance

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