عنوان

Performance evaluation and attribution of security portfolios

0080926525

9780080926520

9780127444833

dltt

Performance evaluation and attribution of security portfolios

[Book]

by Bernd Fischer, Russ Wermers

1st ed

Oxford, U.K. ; Waltham, Mass. :

Academic Press,

2013

1 online resource (1 v.) :

ill

Includes bibliographical references 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)

0

Safari Books Online

CL0500000488

Performance evaluation and attribution of security portfolios.

0127444831

Investment analysis

Investments-- Evaluation

Fischer, Bernd R

Wermers, Russell

Ohio Library and Information Network

20141014132106.0

[Book]

Y