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Sortino

The Sortino Framework for Constructing Portfolios: Focusing on Desired Target Return(tm) to Optimize Upside Potential Relative to Downside Risk

Medium: Buch
ISBN: 978-0-12-374992-5
Verlag: ELSEVIER SCIENCE & TECHNOLOGY
Erscheinungstermin: 27.11.2009
Lieferfrist: bis zu 10 Tage

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 future returns.The Sortino method presents an innovative change from this traditional approach. Rather than using the client's risk as the main factor, this method uses the client's desired return.


Produkteigenschaften


  • Artikelnummer: 9780123749925
  • Medium: Buch
  • ISBN: 978-0-12-374992-5
  • Verlag: ELSEVIER SCIENCE & TECHNOLOGY
  • Erscheinungstermin: 27.11.2009
  • Sprache(n): Englisch
  • Auflage: Erscheinungsjahr 2009
  • Produktform: Gebunden
  • Gewicht: 431 g
  • Seiten: 192
  • Format (B x H x T): 157 x 229 x 20 mm
  • Ausgabetyp: Kein, Unbekannt
Autoren/Hrsg.

Autoren

Dr. Sortino founded the Pension Research Institute in 1981, focusisng on problems facing fiduciaries. He is also Professor of Finance Emeritus at San Francisco State University. He is known internationally for his published research on measuring and managing investment risk and the widely used Sortino Ratio.

Weitere Mitwirkende

Part 1. Building the Framework 1. The Big Picture2. Getting All The Pieces of the Puzzle3. Beyond the Sortino Ratio 4. Optimization & Portfolio Selection Part 2. Applications 5. Birth of the DTRTM 401(k) Plan: 6. A Reality Check From An Institutional Investor7. Integrating the DTR Framework into a Complex Corporate Structure8. The Role of Regulation in the Next Financial Market Evolution9. Sharing Downside Risk in Defined Benefit Pension Plans: 10. (Reprint) On the Foundation of Performance Measures under Asymmetric ReturnsAppendix 1. Formal Definitions and Procedures