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The Resource The Sortino Framework for Constructing Portfolios : Focusing on Desired Target Return{u2122} to Optimize Upside Potential Relative to Downside Risk

The Sortino Framework for Constructing Portfolios : Focusing on Desired Target Return{u2122} to Optimize Upside Potential Relative to Downside Risk

Label
The Sortino Framework for Constructing Portfolios : Focusing on Desired Target Return{u2122} to Optimize Upside Potential Relative to Downside Risk
Title
The Sortino Framework for Constructing Portfolios
Title remainder
Focusing on Desired Target Return{u2122} to Optimize Upside Potential Relative to Downside Risk
Creator
Subject
Language
eng
Summary
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. Only book to describe the Sortino method and Desired Target Return{u2122} in a way that enables portfolio managers to adopt the method Software to implement the portfolio construction method is included free of charge to book buyers on a password protected Elsevier website. Book buyers can use the software to construct portfolios using this method right away, in real time. They can also load in their current portfolios and measure them against these measures. The Sortino method has been tested over 20 years at the Pension Research Institute. Portfolio managers can be confident of the success of the method, even returns in the economic crisis, in which the method has still beaten all S&P benchmarks
Cataloging source
MiAaPQ
Literary form
non fiction
Nature of contents
dictionaries
The Sortino Framework for Constructing Portfolios : Focusing on Desired Target Return{u2122} to Optimize Upside Potential Relative to Downside Risk
Label
The Sortino Framework for Constructing Portfolios : Focusing on Desired Target Return{u2122} to Optimize Upside Potential Relative to Downside Risk
Link
http://libproxy.rpi.edu/login?url=https://ebookcentral.proquest.com/lib/rpi/detail.action?docID=535272
Publication
Copyright
Related Contributor
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Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Front Cover -- The Sortino Framework for Constructing Portfolios: Focusing on Desired Target Return{u2122} 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 Ratio -- Improvements -- 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 Limited -- Multiple 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 DTR{u2122} 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 Danger -- Summary 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 Return{u2122} -- Style Analysis: Determining the Style Blend of a Fund -- Index
http://library.link/vocab/cover_art
https://contentcafe2.btol.com/ContentCafe/Jacket.aspx?Return=1&Type=S&Value=9780080961682&userID=ebsco-test&password=ebsco-test
Dimensions
unknown
http://library.link/vocab/discovery_link
{'f': 'http://opac.lib.rpi.edu/record=b4265588'}
Extent
1 online resource (177 pages)
Form of item
online
Isbn
9780080961682
Media category
computer
Media MARC source
rdamedia
Media type code
c
Sound
unknown sound
Specific material designation
remote

Library Locations

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      110 8th St, Troy, NY, 12180, US
      42.729766 -73.682577
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