An efficient method of evaluating portfolio risk and return

作者：Bramante Riccardo^*; Dallago Gimmi

来源：Computational Statistics, 2013, 28(3): 1351-1363.

DOI：10.1007/s00180-012-0362-9

• IAS-IFRS
• Risk and return
• Tracking error
• Portfolio selection

This paper presents an efficient method to compute portfolio risk and return. Two methodologies are exposed in evaluating portfolio performance by aggregation of securities returns: the first 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.

• 出版日期2013-6