I knew the author as a system architect, when he was designing an investment performance measurement system for the Royal Bank of Canada. (That time, I was a Director of this department.) In this review, I am looking at the book from the perspective of a system designer, one who has to understand all related mathematics to implement the system. I wish we had this book when we were developing our investment performance measurement systems. All the answers we were looking for are in this book, and even more. At the outset, we lacked an understanding of relationships between the different types of rates of return. The book completely covered this subject. We also did not know which computational algorithms are better and how they compared to each other in terms of performance, accuracy, etc. This book covers this information in-depth and is in itself a treasure trove for system designers. There is an interesting chapter on attribution analysis. The author covers all available methods and in addition, introduces a framework and develops new methods on his own, with impressive numerical results. I would also pay attention to new linking methods named in the literature for author. These are very valuable methods from a systems development perspective. Asset and period "slicing and dicing", "asset schemas", etc. are always a headache for system designers complicating things immensely, and this is something that these methods solve. Overall this book is a must have for any serious systems designer or performance measurement analyst.
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Very interesting readFeb. 20 2010
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In my view, the pros are the comprehensiveness and depth of the subject coverage; a consistently scrupulous level of detail; flawless clarity of presentation. What appeals is that the reader can start from scratch and get to an advanced level in all areas of investment performance measurement just by reading this one book, in parts or as a whole. The volume combines the qualities of a reference book, well thought through and conceptually seamless monograph, and a handy manual, when it comes to practical application of investment performance methods and computational algorithms. All in one book! As a note, the computational and system implementation parts are unique, both with regards to the subject itself and, again, in the comprehensiveness of coverage. System designers should be happy to have this book when designing financial systems. Financial analysts, like myself, will benefit in all aspects of business knowledge. The good thing is that the book will be up-to-date for a long time, the depth of conceptual thinking that it presents will unlikely change for decades. I am not sure that all people need the small occasional insertions of general considerations, some of them almost of a philosophical level. Personally, I found some of them interesting. However, this is a minor thing. This is not that these insertions should not be there. They are just not for everybody. Otherwise, the book is an excellent buy.
Useful for beginners and professionalsAug. 23 2009
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The author calls this manuscript a reference book. This is true, because beginners who specialize in the given area will find accurate definitions, necessary formulas for compound and non-compound use cases, many illustrations and practical examples of calculations of internal rate of return. For the wider public, the book will be useful as good reading about the pitfalls of calculating internal rates of return when simple non-compound formulas are used to simplify calculation instead of more accurate compounding approaches. On the other hand, professional practitioners will find analyses and examples on the implementation of numeric methods and computer algorithms, including a comprehensive first-hand explanation of Shestopaloff's linking (SL) method from its author. SL allows one to combine internal rates information about different investment periods to find total rate of return. The method can be used to link sequential and non-sequential periods. The author shows the relationship between SL and well-known geometric linking and how SL extends the geometric linking approach. The author compares the results of all algorithms available today to prove SL effectiveness. I found interesting the discussion of the important role of modified Dietz formula and its usage in numeric calculation. The book describes different mathematical aspects of annuities, mortgages, the internal rate of return equation, investment attribution analysis, and risk assessments, and can probably be used for the development of new trading techniques.
A valued contribution as a graduate level mathematics curriculum supplemental resourceJune 7 2009
Midwest Book Review
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For dedicated mathematicians, there is as much art and beauty as there is science in their calculations, formulas, precepts, concepts, and expositions. There is also utility, practicality, insight, and value in the application of mathematical principals to financial systems and the economy which are complex compilations of factors that mathematicians develop models to explain otherwise inexplicable and seemingly random phenomena. That's why Yuri Shestopaloff's "Science of Inexact Mathematics: Investment Performance Measurement, Mortgages and Annuities, Computing Algorithms, Attribution, Risk Valuation" is such a seminal work in the field of applied mathematics to financial issues and economic performances with respect to investment strategies and interpretations. Offering detailed computing algorithms (including software implementation), the informed and informative text is enhanced with numerical examples, graphical and tabular illustrations throughout. A work of impressive scholarship, Yuri Shestopaloff's "Science of Inexact Mathematics" is especially recommended for academic, governmental, and professional library collections and is a valued contribution as a graduate level mathematics curriculum supplemental resource.