Wolfgang Marty Libri

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 tracking errors are analyzed and ex-post versus ex-ante risk figures are compared. The author then proceeds to modern portfolio theory (MPT) and illustrates how the constraints interfere substantially in the construction of optimized portfolios. As a conclusion, the book provides the reader with all the essential aspects of investment controlling.

Focusing on the analysis of bonds and bond portfolios, this book delves into various yield and duration measures, exploring the transition from single bonds to portfolios and the internal rate of return. It examines different yield scenarios' effects on model portfolios while introducing market and credit risk as separate entities. The text offers insights into assessing credit markets and provides an overview of the benchmark industry, along with an introduction to convertible bonds, making it a comprehensive resource for students, researchers, and finance professionals.