The Sortino Framework for Constructing Portfolios: Focusing on Desired Target Return™ to Optimize Upside Potential Relative to Downside Risk
Autor Frank A. Sortino Contribuţii de Ron Surz, David Hand, Robert van der Meer, Neil Riddles, James Pupillo, Auke Plantingaen Limba Engleză Hardback – 26 noi 2009
- Only book to describe the Sortino method and Desired Target Return™ 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
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Specificații
ISBN-13: 9780123749925
ISBN-10: 0123749921
Pagini: 192
Dimensiuni: 152 x 229 x 20 mm
Greutate: 0.43 kg
Editura: ELSEVIER SCIENCE
ISBN-10: 0123749921
Pagini: 192
Dimensiuni: 152 x 229 x 20 mm
Greutate: 0.43 kg
Editura: ELSEVIER SCIENCE
Public țintă
Primary: Portfolio managers of high net worth individuals and institutional investors,Wealth Managers and Financial Advisors in Private Bank, Money Management Firms, and Wealth Management Firms, Portfolio Managers and Investment Officers in Money Management Firms, Private Banks, and Wealth Management Firms
Cuprins
Part 1. Building the Framework 1. The Big Picture2. Getting All The Pieces of the Puzzle3. Beyond the Sortino Ratio 4. Optimization & Portfolio Selection Part 2. Applications 5. Birth of the DTRTM 401(k) Plan: 6. A Reality Check From An Institutional Investor7. Integrating the DTR Framework into a Complex Corporate Structure8. The Role of Regulation in the Next Financial Market Evolution9. Sharing Downside Risk in Defined Benefit Pension Plans: 10. (Reprint) On the Foundation of Performance Measures under Asymmetric ReturnsAppendix 1. Formal Definitions and Procedures