The Sortino framework for constructing portfolios : focusing on desired target return to optimize upside potential relative to downside risk /

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The most common way of constructing portfolios is to use traditional asset allocation strategies, which match the client's risk appetite to a weighted allocation strategy of fixed income, equities, and other types of assets. This method focuses on how the money is allocated, rather than on futu...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Sortino, Frank Alphonse, 1932-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Amsterdam ; Boston : Elsevier, ©2010.
Colección:Elsevier finance.
Temas:
Portfolio management.
Investment analysis.
Risk management.
Risk Management
Gestion de portefeuille.
Analyse financière.
Gestion du risque.
risk management.
BUSINESS & ECONOMICS > Investments & Securities > General.
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • Building the Framework
  • Chapter 1. The Big Picture.
  • Chapter 2. Getting All The Pieces of the Puzzle.
  • Chapter 3. Beyond the Sortino Ratio
  • Chapter 4. Optimization & Portfolio Selection
  • Applications
  • Chapter 5. Birth of the DTRTM 401(k) Plan:
  • Chapter 6. A Reality Check From An Institutional Investor:
  • Chapter 7. Integrating the DTR Framework into a Complex Corporate Structure:
  • Chapter 8. The Role of Regulation in the Next Financial Market Evolution:
  • Chapter 9. Sharing Downside Risk in Defined Benefit Pension Plans:
  • Chapter 10. (Reprint) On the Foundation of Performance Measures under Asymmetric Returns, Christian S. Pedersen and Stephen E. Satchell
  • Appendix 1. Formal Definitions and Procedures.

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