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Wolfgang Marty, "Portfolio Analytics: An Introduction to Return and Risk Measurement"

English | ISBN: 3319035088 | 2014 | 214 pages | PDF | 4 MB


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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Tags: Measurement, Return, Analytics, Introduction

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