Overview
- 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
- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Texts in Business and Economics (STBE)
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Table of contents (5 chapters)
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Front Matter
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Back Matter
Keywords
About this book
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.
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Authors and Affiliations
About the author
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).Â
Bibliographic Information
Book Title: Portfolio Analytics
Book Subtitle: An Introduction to Return and Risk Measurement
Authors: Wolfgang Marty
Series Title: Springer Texts in Business and Economics
DOI: https://doi.org/10.1007/978-3-319-03509-3
Publisher: Springer Cham
eBook Packages: Business and Economics, Economics and Finance (R0)
Copyright Information: Springer International Publishing Switzerland 2013
eBook ISBN: 978-3-319-03509-3Published: 19 February 2014
Series ISSN: 2192-4333
Series E-ISSN: 2192-4341
Edition Number: 1
Number of Pages: XII, 200
Number of Illustrations: 39 b/w illustrations, 14 illustrations in colour
Topics: Finance, general, Quantitative Finance, Macroeconomics/Monetary Economics//Financial Economics, Business Mathematics, Statistics for Business, Management, Economics, Finance, Insurance, Accounting/Auditing