Portfolio Analytics

An Introduction to Return and Risk Measurement

  • Wolfgang Marty

Part of the Springer Texts in Business and Economics book series (STBE)

Table of contents

  1. Front Matter
    Pages i-xii
  2. Wolfgang Marty
    Pages 1-4
  3. Wolfgang Marty
    Pages 5-82
  4. Wolfgang Marty
    Pages 83-133
  5. Wolfgang Marty
    Pages 135-175
  6. Wolfgang Marty
    Pages 177-194
  7. Back Matter
    Pages 195-200

About this book


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.


Efficient Frontier Investment Controlling MWR Modern Portfolio Theory Performance measurement TWR

Authors and affiliations

  • Wolfgang Marty
    • 1
  1. 1.Swiss Bond CommissionStallikonSwitzerland

Bibliographic information

  • DOI
  • Copyright Information Springer International Publishing Switzerland 2013
  • Publisher Name Springer, Cham
  • eBook Packages Business and Economics
  • Print ISBN 978-3-319-03508-6
  • Online ISBN 978-3-319-03509-3
  • Series Print ISSN 2192-4333
  • Series Online ISSN 2192-4341
  • Buy this book on publisher's site