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

Show other versions (1)

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...

Full description

Bibliographic Details
Call Number:Libro Electrónico
Other Authors: Sortino, Frank Alphonse, 1932-
Format: Electronic eBook
Language:Inglés
Published: Amsterdam ; Boston : Elsevier, �2010.
Series:Elsevier finance.
Subjects:
Portfolio management.
Investment analysis.
Risk management.
Risk Management
Gestion de portefeuille.
Analyse financi�ere.
Gestion du risque.
risk management.
BUSINESS & ECONOMICS > Investments & Securities > General.
Online Access:Texto completo
Table of Contents:
  • 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.

Similar Items