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...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | eBook |
| Language: | English |
| Published: |
Oxford
Academic Press
2013
|
| Series: | Handbooks in economics
|
| Subjects: | |
| Online Access: | |
| Collection: | O'Reilly - Collection details see MPG.ReNa |
Table of Contents:
- Includes bibliographical references (pages 683-695) and index
- 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)