Portfolio Analytics
An Introduction to Return and Risk Measurement
Authors: Marty, Wolfgang
Free Preview- 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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- About this Textbook
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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.
- About the authors
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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).
- Table of contents (5 chapters)
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Introduction
Pages 1-4
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Return Analysis
Pages 5-82
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Risk Measurement
Pages 83-133
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Performance Measurement
Pages 135-175
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Investment Controlling
Pages 177-194
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Table of contents (5 chapters)
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Bibliographic Information
- Bibliographic Information
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- Book Title
- Portfolio Analytics
- Book Subtitle
- An Introduction to Return and Risk Measurement
- Authors
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- Wolfgang Marty
- 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
- 39 b/w illustrations, 14 illustrations in colour
- Topics
