Portfolio Analytics: An Introduction to Return and Risk Measurement (Springer Texts in Business and Economics)

"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."--Library of Congress Front Matter....Pages i-xii Introduction....Pages 1-4 Return Analysis....Pages 5-82 Risk Measurement....Pages 83-133 Performance Measurement....Pages 135-175 Investment Controlling....Pages 177-194 Back Matter....Pages 195-200