Portfolio analytics: an introduction to return and risk measurement
Auteur :
Marty, Wolfgang
Éditeur :
Springer International Publishing AG
ISBN :
9783319345253
Date de publication :
23 août 2016
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Suisse
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.