Performance evaluation and attribution of security portfolios
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Performance evaluation and attribution of security portfolios
Performance Evaluation and Attribution of Security PortfoliosIntroduction to the SeriesThe aim ol die Handbooks in Economics series is lo produce Hand Performance evaluation and attribution of security portfoliosdbooks ibr various branches of economics, each of which is a definitive source, reference, and teaching supplement for use by professional researchers and advanced graduate students. Each Handbook provides self-contained surveys of the current stale of a branch of economics in the form of chapters p Performance evaluation and attribution of security portfoliosrepared by leading specialists on various aspects of this branch of economics. These surveys summarize not only received results but also newer develoPerformance evaluation and attribution of security portfolios
pments, from recent journal articles and discussion papers. Some original material is also included, but the main goal is to provide comprehensive andPerformance Evaluation and Attribution of Security PortfoliosIntroduction to the SeriesThe aim ol die Handbooks in Economics series is lo produce Hand Performance evaluation and attribution of security portfoliosentary readings for advanced courses for graduate students in economics.KENNETH J. ARROW and MICI IAI.I. I). INI RIII GATORPerformance Evaluation and Attribution of Security PortfoliosbyBernd Fischer and Russell WermersAcademic Press is an imprint of ElsevierIhe Boulevard, Langford Lane,Kidlington, Performance evaluation and attribution of security portfoliosOxford 0X5 1GB, UK225 Wyman Street, Waltham, MA 02451, USAFirst edition 2013Copyright © 2013 Elsevier Inc All rights reservedSOI.NIK, BRUNO, Mcl-EAVEYPerformance evaluation and attribution of security portfolios
, DENNIS, CI.OIỈAI. INVESTMENTS, 6* Edilion, «0 2009, Reprinted by permission of Pearson Education, Inc., Upper Saddle River, N|.No pan of this publicPerformance Evaluation and Attribution of Security PortfoliosIntroduction to the SeriesThe aim ol die Handbooks in Economics series is lo produce Hand Performance evaluation and attribution of security portfoliosherwise without the prior written permission of the publisherPermissions may be sought directly from Elsevier’s Science 81 Technolog}' Rights Department in Oxford, UK: phone (+44) (0) 1865 843830; fax (+44) (0) 1865 853333; email: permissions^elsevier.com. Alternatively you can submit your request o Performance evaluation and attribution of security portfoliosnline by visiting the Elsevier web site al hllp://elsevier.com/locate/perrnissions, and selecting obtaining penniííiơn to use Elsevier materialNoticeNPerformance evaluation and attribution of security portfolios
o responsibility is assumed by the publisher lor any injury and/or damage lo ỊHTSOI1S or properly as a mailer of products liability, negligerue or othPerformance Evaluation and Attribution of Security PortfoliosIntroduction to the SeriesThe aim ol die Handbooks in Economics series is lo produce Hand Performance evaluation and attribution of security portfoliosthe medical sciences, in particular, independent verification of diagnoses ami drug dosages should be madeBritish l ibrary Cataloguing in Publication DataA catalogue record for this book is available from the British Library'Library of Congress Cataloging-in-Publicalion DataA catalog record for this Performance evaluation and attribution of security portfolios book is availabe from the l ibrary of CongressISBN-13: 978-0-12-744483-3For information on all Academic Press publications visit our web site at storPerformance evaluation and attribution of security portfolios
e.elsevier.comPrinted and bound in the US12 13 14 15 16 10 9 8 7 6 5 4 3 2 1Working together to grow libraries in developing countries www.elfevier.coPerformance Evaluation and Attribution of Security PortfoliosIntroduction to the SeriesThe aim ol die Handbooks in Economics series is lo produce Hand Performance evaluation and attribution of security portfoliosn—the measurement of manager skills—and performance attribution—the measurement of all ol the sources of manager returns, including skill based. We have attempted to ilK hide the best anil most promising scienlilic approaches to these topics, drawn from a voluminous and quickly expanding literature. Performance evaluation and attribution of security portfoliosOur objective* in this book is Io distill hundreds of both classic and the best culling edge academic and prac lilioner researc h papers into a unifiePerformance evaluation and attribution of security portfolios
d framework. Our goal is to present the most important concepts ill the literature in order Io provide a direr led Study and/or authoritative referencPerformance Evaluation and Attribution of Security PortfoliosIntroduction to the SeriesThe aim ol die Handbooks in Economics series is lo produce Hand Performance evaluation and attribution of security portfolios implement die approaches with dala immediately, without consulting the underlying lileralure. For the ac adetnic. we have provided enough delail to allow an easy further study of the literature, as desired.We have contributed in two dimensions in this volume—both of which, we believe, are missing i Performance evaluation and attribution of security portfoliosn currently available textbooks. Firstly, we provide a timely overview of the most important ỊHTÍòrmance evaluation techniques, which allow an accuratPerformance evaluation and attribution of security portfolios
e assessment of the skills of a portfolio manager. Secondly, we provide an equally timely overview of the most important and widely used performance aPerformance Evaluation and Attribution of Security PortfoliosIntroduction to the SeriesThe aim ol die Handbooks in Economics series is lo produce Hand Performance evaluation and attribution of security portfoliosporting by fund managers.We believe that our text is timely. An estimated $71.3 ưillion was invested in managed portfolios worldwide, as of 2009 (source: tvww.thecityuk.com). Managing this money, thus, is a business that draws perhaps $700 billion per year in management fees and other expenses for a Performance evaluation and attribution of security portfoliossset managers, in addition to a perhaps similar magnitude in annual trading costs accruing Io brokers, market makers, and other liquidity providers (ĨPerformance evaluation and attribution of security portfolios
.C., Wall Street and other financial centers). Our book is the first comprehensive text covering the latest science of measuring the main output of poPerformance Evaluation and Attribution of Security PortfoliosIntroduction to the SeriesThe aim ol die Handbooks in Economics series is lo produce Hand Performance evaluation and attribution of security portfoliosy, and that portfolio management firms use (hem to better understand the quality of their funds' output for investors.We intend this book to be used in at least two ways: Performance evaluation and attribution of security portfoliosPerformance Evaluation and Attribution of Security PortfoliosIntroduction to the SeriesThe aim ol die Handbooks in Economics series is lo produce HandGọi ngay
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