An efficient method of evaluating portfolio risk and return

Riccardo Bramante, G. Dallago

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

1 Citazioni (Scopus)

Abstract

This paper presents an e cient method to compute portfolio risk and return. Two methodologies are exposed in evaluating portfolio perfor- mance by aggregation of securities returns: the rst one is based on local approximations of the compounding capitalization formula; in the alternative method, which properties are extremely useful within IAS-IFRS accounting principles, integral approximations of the amortized cost function are used. As for risk estimation, total portfolio tracking error is decomposed in summable factors directly related to benchmark asset class and portfolio weights.
Lingua originaleEnglish
pagine (da-a)1351-1363
Numero di pagine13
RivistaComputational Statistics
Volume28
DOI
Stato di pubblicazionePubblicato - 2012

Keywords

  • IAS-IFRS
  • portfolio selection
  • risk and return
  • tracking error

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