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Einband grossPerformance Evaluation and Attribution Volume 1
ISBN/GTIN

Performance Evaluation and Attribution Volume 1

Asset Pricing and Models
TaschenbuchKartoniert, Paperback
450 Seiten
Englisch
Elsevier Health Scienceserscheint am01.03.20252nd edition
Performance Evaluation: The Science of Multidimensional Risk Measurement, Second Edition, presents an updated, comprehensive exploration of portfolio evaluation. Based on the authors' Performance Evaluation and Attribution of Security Portfolios (2012) this Second Edition adds four new chapters and updated content throughout in its practical approach to measuring manager skills and using recent statistical techniques to solve investment problems. Added are new factor models, including the newly developed q-factor model and the new models of Fama and French; new examples; and new work on qualitative considerations used in performance evaluation. Highly detailed, Performance Evaluation: The Science of Multidimensional Risk Measurement, Second Edition, combines academic rigor with practical applications and guidance for applications of diverse approaches.mehr

Produkt

KlappentextPerformance Evaluation: The Science of Multidimensional Risk Measurement, Second Edition, presents an updated, comprehensive exploration of portfolio evaluation. Based on the authors' Performance Evaluation and Attribution of Security Portfolios (2012) this Second Edition adds four new chapters and updated content throughout in its practical approach to measuring manager skills and using recent statistical techniques to solve investment problems. Added are new factor models, including the newly developed q-factor model and the new models of Fama and French; new examples; and new work on qualitative considerations used in performance evaluation. Highly detailed, Performance Evaluation: The Science of Multidimensional Risk Measurement, Second Edition, combines academic rigor with practical applications and guidance for applications of diverse approaches.
Details
ISBN/GTIN978-0-12-818297-0
ProduktartTaschenbuch
EinbandartKartoniert, Paperback
FormatTrade Paperback (USA)
Erscheinungsjahr2025
Erscheinungsdatum01.03.2025
Auflage2nd edition
Seiten450 Seiten
SpracheEnglisch
Artikel-Nr.61471913
Rubriken
GenreWirtschaft

Inhalt/Kritik

Inhaltsverzeichnis
1. An Introduction to Asset Pricing Models 2. Returns-Based Performance Evaluation Models 3. Returns-Based Performance Measures 4. Portfolio-Holdings Based Performance Evaluation 5. Combining Portfolio-Holdings-Based and Returns-Based Performance Evaluation (and the "Return Gap") 6. Performance Evaluation of Non-Normal Portfolios 7. Fund Manager Selection Using Macroeconomic Information 8. Multiple Fund Performance Evaluation: The False Discovery Rate Approach 9. Active Management in Mostly Efficient Markets: A Survey of the Academic Literature 10. Performance Evaluation of Professional Ratings Services 11. Performance Evaluation of Target-Date Funds 12. Qualitative Considerations in Performance Evaluation 13. Exchange-Traded Fundsmehr

Autor

Russ Wermers is an Associate Professor of Finance at the Smith School of Business, University of Maryland at College Park, where he won a campus-wide teaching award during 2005. His main research interests include studies of the efficiency of securities markets, as well as the role of institutional investors in setting stock prices. Most notably, his past research has developed new approaches to measuring and attributing the performance of mutual funds, pension funds, and hedge funds, as well as devising winning strategies for investing in these funds. Professor Wermers received his Ph.D. from the University of California, Los Angeles, in 1995.
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