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

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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Bibliographic Details
Main Author: Sortino, Frank Alphonse
Format: eBook
Language:English
Published: Amsterdam Elsevier 2010
Series:[Elsevier finance]
Subjects:
Portfolio Management / Fast
Risk Management / Fast
Portfolio Management / Http://id.loc.gov/authorities/subjects/sh85105080
Analyse Financière
Business & Economics / Investments & Securities / General / Bisacsh
Risk Management / Http://id.loc.gov/authorities/subjects/sh85114200
Investment Analysis / Fast
Gestion Du Risque
Risk Management / Aat
Investment Analysis / Http://id.loc.gov/authorities/subjects/sh85067707
Risk Management
Gestion De Portefeuille
Online Access:
Collection: O'Reilly - Collection details see MPG.ReNa
Table of Contents:
  • Includes bibliographical references and index
  • 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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