Sortino Framework for Constructing Portf

Describes the Sortino method and Desired Target ReturnT in a way that enables portfolio managers to adopt the method. This title offers a way of constructing portfolios into the hands of portfolio managers.

List 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 DTR^TM 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

Product details

• Authors: Frank Sortino, Frank A. Sortino, Frank A. (Chairman and Chief Investment Officer Sortino
• Publisher: ELSEVIER SCIENCE BV
• Languages: English
• Product format: Hardback
• Released: 18.12.2009
• EAN: 9780123749925
• ISBN: 978-0-12-374992-5
• No. of pages: 192
• Series: Elsevier Finance; Elsevier Finance
• Subject: Social sciences, law, business > Business > Individual industrial sectors, branches