Portfolio Analytics An Introduction to Return and Risk Measurement
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 trac
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Wolfgang Marty
Portfolio Analytics An Introduction to Return and Risk Measurement
Springer Texts in Business and Economics
For further volumes: http://www.springer.com/series/10099
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Wolfgang Marty
Portfolio Analytics An Introduction to Return and Risk Measurement
Wolfgang Marty Swiss Bond Commission Stallikon Switzerland
ISSN 2192-4333 ISSN 2192-4341 (electronic) ISBN 978-3-319-03508-6 ISBN 978-3-319-03509-3 (eBook) DOI 10.1007/978-3-319-03509-3 Springer Cham Heidelberg New York Dordrecht London Library of Congress Control Number: 2014930288 © Springer International Publishing Switzerland 2013 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Preface
While getting acquainted with a series of topics relating to the banking industry, I realized that scientific methods and terminologies describe many aspects of financial markets, and that many notions that are used in finance have a scientific background. In the daily activities of the finance industry, we often fail to realize that mathematical concepts are being applied. The use of mathematics ranges from basic arithmetic manipulations such as adding positions on an account or calculating interest payments, to sophisticated problems such as investing times series or portfolio optim
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