Performance Evaluation and Attribution of Security Portfolios
ISBN/ASIN: 9780127444833,9780080926520 | 2012 | pdf | 724/710 pages | 21.1 Mb
Publisher: Academic Press
"The authors provide an excellent comprehensive treatment, running from widely used traditional measures all the way to methods pushing the knowledge frontier, complemented with practical information such as global reporting standards. As such, this book is a valuable resource for anyone facing the important challenge of evaluating the performance of investment managers." –Robert F. Stambaugh,The Wharton School of the University of Pennsylvania. "Wermers and Fischer provide a timely review of a rapidly developing subject, pitched at roughly the advanced MBA level. It is particularly strong and useful in its coverage of holdings-based performance measurement. This is where the field is going, making the book a must-read." –Wayne Ferson, University of Southern California "An excellent in-depth review of state-of-the-art approaches to performance evaluation and attribution. A worthwhile read for both academics and practitioners." –Lubos Pastor,University of Chicago .