Introductory References for Portfolio Returns and Risk Measures
Summary
The document seeks an accessible but mathematically rigorous introduction to investment concepts for teaching. It lists return measures, including logarithmic and geometric returns; arithmetic and geometric expected returns; volatility and annualization; the Sharpe ratio; and drawdown. It also asks for treatments covering both a single asset and portfolios, including matrix methods. The responses recommend finance texts and notes as starting points for this material.
The suggestions include a finance guide described as accessible and mathematically sound, a markets and corporate strategy text characterized as intuitive but less comprehensive, and a short course focused on the Sharpe ratio. The recommendations are personal rather than the result of a structured comparison, and the document gives no detailed curriculum, formulas, or evaluation of coverage. One response notes that the recommended guide is not especially short, so readers seeking a concise reference may need to select relevant sections or combine sources.
Key ideas
- The requested foundation covers return definitions, expected returns, volatility, Sharpe ratio, and drawdown.
- The material should address both individual assets and portfolios using matrix algebra.
- The responses recommend finance texts and lecture notes as educational references.
- One recommended guide is accessible and mathematically correct but relatively long.
- The recommendations are subjective and do not compare the sources systematically.
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Full text
# Where to find good notations to teach investment portfolio maths? # Where to find good notations to teach investment portfolio maths? I don't know whether this question is in order here. I do a bit of teaching and I am preparing my own notes but I thought that his should not be necessary. In which book/pdf on the web can we find a basic but rigorous treatment of the notions - return (log,geometric) - expected return (arithmetic/geometric) - volatility (annualizing, ...) - Sharpe ratio - maybe more (e.g. draw down) both in the case of one asset and in the portfolio setting (where matrix algebra can be applied). I would love to have this one paper from the net that containes this short intro. It would answer 10% of the questions posted here too. If it is not on the web - let us write it ;) ## Answer by vonjd (score 2, accepted) https://quant.stackexchange.com/a/25771 If I had to give only one title this would be it: FT Guide to Understanding Finance by J. Estrada (Second Edition published 2011) It explains all of the above concepts (and more) in a very accessible, yet mathematically correct manner. A sample can be found: Here The only thing is that it is not really short (the first part, i.e. up to p. 150, is relevant here) but you can be sure that your students will understand those topics thoroughly afterwards! ## Answer by dms_quant (score 3) https://quant.stackexchange.com/a/25784 Financial markets & Corporate Strategy - Grinblatt & Titman The book is very intuitive, but as a consequence less comprehensive than ex. Options, Futures, and other Derivatives by Hull (which is seen as the basic foundation of everything quant in some parts of the industry.) A great entry level book to finance, and is publically avaliable here: http://down.cenet.org.cn/upfile/10/2013410233155145.pdf ## Answer by shabbychef (score 1) https://quant.stackexchange.com/a/37834 I am biased, but I am fond of the notes I wrote: a Short Sharpe Course.
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