The Sortino Framework for Constructing Portfolios
Focusing on Desired Target Return (TM) to Optimize Upside Potential Relative to Downside Risk
Published on 27. November 2009
Book
Hardback
192 pages
978-0-12-374992-5 (ISBN)
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.
More details
Language
English
Place of publication
United States
Target group
Professional and scholarly
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
Dimensions
Height: 229 mm
Width: 152 mm
Weight
440 gr
ISBN-13
978-0-12-374992-5 (9780123749925)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Frank A. Sortino
The Sortino Framework for Constructing Portfolios
Focusing on Desired Target Return(TM) to Optimize Upside Potential Relative to Downside Risk
E-Book
11/2009
Elsevier
€48.95
Available for download
Persons
Dr. Sortino founded the Pension Research Institute in 1981, focusisng on problems facing fiduciaries. He is also Professor of Finance Emeritus at San Francisco State University.He is known internationally for his published research on measuring and managing investment risk and the widely used Sortino Ratio.
Content
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