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Portfolio Analytics

An Introduction to Return and Risk Measurement

Portfolio Analytics by Wolfgang Marty
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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.
Springer International Publishing; October 2015
216 pages; ISBN 9783319198125
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Title: Portfolio Analytics
Author: Wolfgang Marty
 
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