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

Sortino, Frank A./ Surz, Ron/ Hand, David

Elsevier Science（2009/10発売）

• 製本 Hardcover:ハードカバー版／ページ数 192 p.
• 言語 ENG
• 商品コード 9780123749925
• DDC分類 332.6

Full Description

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.

Contents

Building the FrameworkChapter 1. The Big Picture. Chapter 2. Getting All The Pieces of the Puzzle. Chapter 3. Beyond the Sortino RatioChapter 4. Optimization & Portfolio SelectionApplicationsChapter 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. SatchellAppendix 1. Formal Definitions and Procedures