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Performance evaluation and attribution of security portfolios /
Just how successful is that investment? Measuring portfolio performance requires evaluation (measuring portfolio results against benchmarks) and attribution (determining individual results of the portfolio's parts), In this book, a professor and an asset manager show readers how to use theories...
| Cote: | Libro Electrónico |
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| Auteur principal: | |
| Autres auteurs: | |
| Format: | Électronique eBook |
| Langue: | Inglés |
| Publié: |
Oxford :
Academic Press,
2013.
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| Collection: | Handbooks in economics.
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| Sujets: | |
| Accès en ligne: | Texto completo |
Table des matières:
- Performance evaluation. An introduction to asset pricing models
- Returns-based performance evaluation models
- Returns-based performance measures
- Portfolio-holdings based performance evaluation
- Combining portfolio-holdings-based and returns-based performance evaluation
- Performance evaluation of non-normal portfolios
- Fund manager selection using macroeconomic information
- Multiple fund performance evaluation : the false discovery rate approach
- Active management in mostly efficient markets : a survey of the academic literature
- Performance analysis and reporting. Basic performance evaluation models
- Indices and the construction of benchmarks
- Attribution analysis for equity portfolios according to the Brinson approach
- Attribution analysis for fixed income portfolios
- Analysis of multi-asset class portfolios and hedge funds
- Attribution analysis with derivatives
- Global investment performance standards (GIPS).