 Risk MeasurementWolfgang Marty
Chapter Chapter 3 in Portfolio Analytics, 2013, pp 83-133 from Springer Abstract: Abstract It is the task of every performance measurement department to calculate return figures. It goes without saying that this is important information for the investor, as the return reflects the change in a portfolio’s value. However, a return of a specific portfolio is just based on one realization of the portfolio in the past and it is up to risk measurement to investigate different behaviors of the portfolio under different market conditions. Risk considerations are called for. It may very well be that two portfolios have the same returns but the accompanying risks are significantly different. Return calculations are deterministic and risk relates to randomness. Risk calculation uses methods from statistics and from probability theory. Generally speaking, returns are the result of precise calculations, while risk figures are rather estimations that are based on models. We see that different risks can assume different characteristics and forms. Keywords: Measure Performance Differences; Risk Considerations; Asset Allocators; Tracking Error; Risk Matrix (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-319-03509-3_3 Ordering information: This item can be ordered from DOI: 10.1007/978-3-319-03509-3_3 Access Statistics for this chapter More chapters in Springer Texts in Business and Economics from Springer |
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