The Sortino framework for portfolio construction 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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| Format: | eBook |
| Language: | Inglés |
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Amsterdam ; Boston :
Elsevier
2009.
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| Edition: | 1st edition |
| Series: | Elsevier finance.
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| Subjects: | |
| See on Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627439506719 |
Table of Contents:
- Front Cover; The Sortino Framework for Constructing Portfolios: Focusing on Desired Target ReturnTM to Optimize Upside Potential Relative to Downside Risk; Copyright Page; Contents; Contributors; Prologue; Part I: Building the Framework; Chapter 1 The Big Picture; Turning Points; MPT Criticism; Innovations to MPT; Hands-on Experience; The Risk of Investing; Implementation Frustration; Yes, But Does It Work?; Chapter 2 Getting All The Pieces of the Puzzle; Equity Market Composition; Evaluating Investment Managers: The Search for, and Use of, Skill; Conclusion; Chapter 3 Beyond the Sortino Ratio
- The Sortino RatioImprovements; The Bernardo Kuan Study; Conclusion; Chapter 4 Optimization and Portfolio Selection; Introduction; Part 1: The Forsey-Sortino Optimizer; Part 2: The DTR Optimizer; Part II: Applications; Chapter 5 Birth of the DTR 401(k) Plan; Background; QDIA Options; Goals and Objectives; Potential Conflicts; QDIA Evaluation; Constructing a Participant-Driven Benefit Plan; Recommendations for Regulators; Recommendations for Plan Sponsors; Recommendations for Consultants; Performance Measurement; Summary and Conclusions; Chapter 6 A Reality Check from an Institutional Investor
- Institutional Portfolio Manger's Role is LimitedMultiple Benchmarks; Misfit Risk; Risk Statistics; Downside Risk; Identifying Bad Events is the First Step; A Picture is Worth a Thousand Words (or Statistics); How to Adjust for the Time Frame; How Do Institutional Investors View Downside Risk?; Why Stop There?; In Summary; Chapter 7 Integrating the DTRTM Framework into a Complex Corporate Structure; Introduction; The Integration Process; The Benefits; Chapter 8 The Proper Role of Regulation in Financial Markets; Role of Regulation; Role of the Regulator; Accidents Happen; Criteria for New Rules
- One Person's Risk is Another Person's DangerSummary and Conclusions; Chapter 9 Sharing Downside Risk in Defined Benefit Pension Funds; Introduction; Downside Risk and the Impact on Pension Fund Participants; A Simplified Model of a Pension Fund; A Simulation Experiment; Conclusion; Chapter 10 On the Foundation of Performance Measures Under Asymmetric Returns; Introduction; The Maximum Principle and the Modified Sortino Ratio; Conclusions; Appendix: Formal Definitions and Procedures; Overview; The Desired Target ReturnTM; Style Analysis: Determining the Style Blend of a Fund; Index; A; B; C; D
- EF; G; H; I; J; K; L; M; N; O; P; Q; R; S; T; U; V; W; Y
