ポートフォリオのパフォーマンス評価（第２版） Performance Evaluation and Attribution Volume One : Asset Pricing and Models（2）

著者名：Wermers, Russ/Singer, Brian/Fischer, Bernd R.

Academic Press（2026/03/23発売）

• 言語：ENG
• ISBN：9780128182970
• eISBN：9780128182987

Description

This Second Edition of Performance Evaluation and Attribution Volume One: Asset Pricing and Models, presents an updated, comprehensive exploration of portfolio performance evaluation. Based on the authors' Performance Evaluation and Attribution of Security Portfolios (2012), this volume of the second edition adds four new chapters and updated content throughout in its practical approach to measuring manager skills and using recent statistical techniques to solve investment problems. Added are new factor models, including the newly developed q-factor model, new examples, and new work on qualitative considerations that can be used in identifying skilled fund managers. This highly detailed new edition combines academic rigor with insights and guidance for real-world applications of diverse approaches to identifying skilled professional portfolio managers- Adds four new chapters; every other chapter has been expanded and updated- Adds detailed derivations of the mathematics of mean-variance asset pricing, making the book suitable for an investments course at the Ph.D., Master's, and (advanced) undergraduate levels- Presents new material for target date funds as well as a comprehensive survey of fund ratings services- A solutions manual for all chapter-end problems is available from the author: [e-mail]

Table of Contents

PrefaceCHAPTER 1 An introduction to asset pricing modelsCHAPTER 2 An introduction to returns-based performanceevaluation and potential biases inits econometric applicationCHAPTER 3 Returns-based performance measuresReferencesCHAPTER 4 Portfolio holdings–based performanceevaluationCHAPTER 5 Combining portfolio holdings-based andreturns-based performance evaluation(and the "return gap")CHAPTER 6 Fund manager selection using macroeconomicinformationCHAPTER 7 Performance evaluation of market timers:a new approachCHAPTER 8 Performance evaluation of non-normal portfoliosCHAPTER 9 Multiple fund performance evaluation:the false discovery rate approachCHAPTER 10 Holding Horizon: a new measure of activeCHAPTER 11 Target date funds: an analysis of strategiesand performanceCHAPTER 12 Fund rating systemsCHAPTER 13 Active management in mostly efficient markets:a survey of the academic literatureA complete solutions manual for all chapter-end problems in this volumeis available from the author, [e-mail]