紀錄類型: |
書目-語言資料,印刷品
: Monograph/item
|
杜威分類號: |
332.6 |
書名/作者: |
The Sortino framework for constructing portfolios : focusing on desired target return to optimize upside potential relative to downside risk // Frank Sortino ... [et al.]. |
其他作者: |
Sortino, Frank Alphonse, |
出版者: |
Amsterdam ; : Elsevier,, c2010. |
面頁冊數: |
1 online resource (xvii, 158 p.) : : ill. |
標題: |
Portfolio management. |
標題: |
Investment analysis. |
標題: |
Risk management. |
標題: |
BUSINESS & ECONOMICS - Investments & Securities |
ISBN: |
9780123749925 |
ISBN: |
0123749921 |
ISBN: |
9780080961682 (electronic bk.) |
ISBN: |
0080961681 (electronic bk.) |
ISBN: |
9786612330070 |
ISBN: |
6612330074 |
書目註: |
Includes bibliographical references and index. |
內容註: |
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. |
摘要、提要註: |
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. The goal is what the investor is trying to accomplish financially, such as a certain level of income in retirement or putting children through college. .Feature: Only book to describe the Sortino method and Desired Target ReturnT in a way that enables portfolio managers to adopt the method. .Benefit: Gives a new way of constructing portfolios into the hands of portfolio managers .Feature: Software to implement the portfolio construction method is included free of charge to bookbuyers on a password protected Elsevier website .Benefit: 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. .Feature: The Sortino method has been tested over 20 years at the Pension Research Institute .Benefit: Portfolio managers can be confident of the success of the method, even returns in the economic crisis, where the method has still beaten all S & P benchmarks. |
電子資源: |
http://www.sciencedirect.com/science/book/9780123749925 |