Springer Texts in Business and Economics

Portfolio Analytics

An Introduction to Return and Risk Measurement

Authors: Marty, Wolfgang

  • 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
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eBook $69.99
price for USA (gross)
  • ISBN 978-3-319-03509-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
About this Textbook

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.

 

About the authors

Dr. Wolfgang Marty is vice president at Credit Suisse. He joined Credit Suisse Asset Management in 1998 as Head Product Engineering. He specializes in Performance Attribution, Portfolio Optimization and Fixed Income in general. Prior to joining Credit Suisse Asset Management, Marty worked for UBS AG in London, Chicago and Zurich. He started his career as an assistant for applied mathematics at the Swiss Federal Institute of Technology. Marty holds a university degree in Mathematics from the Swiss Federal Institute of Technology in Zurich and a doctorate from the University of Zurich. He chairs the method and measure subcommittee of the European Bond Commission (EBC) and is president of the Swiss Bond Commission (OKS). Furthermore he is a member of the Fixed Income Index Commission at the Swiss Stock Exchange and a member of the Index team that monitors the Liquid Swiss Index (LSI). 

Video

Table of contents (5 chapters)

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-3-319-03509-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
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Bibliographic Information

Bibliographic Information
Book Title
Portfolio Analytics
Book Subtitle
An Introduction to Return and Risk Measurement
Authors
Series Title
Springer Texts in Business and Economics
Copyright
2013
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-03509-3
DOI
10.1007/978-3-319-03509-3
Series ISSN
2192-4333
Edition Number
1
Number of Pages
XII, 200
Number of Illustrations and Tables
39 b/w illustrations, 14 illustrations in colour
Topics