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Portfolio Analytics de Wolfgang Marty

Portfolio Analytics: Springer Texts in Business and Economics

Autor Wolfgang Marty
en Limba Engleză Hardback – 16 oct 2015
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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Specificații

ISBN-13: 9783319198118
ISBN-10: 3319198114
Pagini: 220
Ilustrații: XIV, 204 p.
Dimensiuni: 160 x 241 x 18 mm
Greutate: 0.5 kg
Ediția:2nd edition 2015
Editura: Springer
Colecția Springer Texts in Business and Economics
Seria Springer Texts in Business and Economics

Locul publicării:Cham, Switzerland

Public țintă

Graduate

Cuprins

Introduction.- Return Analysis.- Risk Measurement.- Performance Measurement.- Investment Controlling.

Notă biografică

Dr. Wolfgang Marty is Investment Strategist at AgaNola. Between 2015 and 1998 he was working with Credit Suisse in Zurich. He joined as Head of Product Engineering and later became Head of Portfolio Analytics. From 1989 - 1998 he worked in London and Chicago. He is specialized in performance measurement, fixed income portfolio attribution and portfolio optimization. He has been committed to actively developing the fixed-income markets for many years. In particular it pursues the interests of the Swiss market participants in the European Bond Commission (EBC). Moreover, Wolfgang Marty is a member of the Executive Committee of the EBC, as well as of the Bond Index Commission of SIX Exchange.         

Textul de pe ultima copertă

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.

Caracteristici

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 as well as advanced research topics