Managing downside risk in financial markets theory, practice and implementation / [electronic resource] :

• 其他作者：
  • Sortino, Frank Alphonse, 1932-
  • Satchell, S. (Stephen)
  • ScienceDirect (Online service)
• 出版： Oxford ;Boston : Butterworth-Heinemann
• 叢書名： Quantitative finance series
• 主題： Investment analysis , Risk management , Portfolio management , Electronic books.
• ISBN： 9780750648639 、 0750648635
• FIND@SFXID: CGU
• 資料類型: 電子書
• 內容註: Includes bibliographical references and index. List of contributors; Preface; Applications of downside risk - From alpha to omega (Frank A. Sortino); The Dutch view: developing a strategic benchmark in an ALM framework (Robert van der Meer); The consultant/financial planner's view: a new paradigm for advising individual accounts (Sally Atwater); The mathematician's view: modelling uncertainty with the three parameter lognormal (Hal Forsey); A software developer's view: using Post-Modern Portfolio Theory to improve investment performance measurement (Brian M. Rom and Kathleen W. Ferguson); An evaluation of value at risk and the information ratio (for investors concerned with downside risk) (Joseph Messina); A portfolio manager's view of downside risk (Neil Riddles); Underlying theory - Investment risk: a unified approach to upside and downside returns (Leslie A. Balzer); Lower partial-moment capital asset pricing models: a re-examination (Stephen E. Satchell); Preference functions and risk-adjusted performance measures (Auke Plantinga and Sebastiaan de Groot); Building a mean-downside risk portfolio frontier (Gustavo M. de Athayde); FARM: a financial actuarial risk model (Robert S. Clarkson); Appendix: The Forsey-Sortino model tutorial; Index.
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• 摘要註: Quantitative methods have revolutionized the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury activities, and governmental activity such as central banking to name but some of the applications. Downside-risk, as a quantitative method, is an accurate measurement of investment risk, because it captures the risk of not accomplishing the investor's goal. 'Downside Risk in Financial Markets' demonstrates how downside-risk can produce better results in performance measurement and asset allocation than variance modelling. Theory, as well as the practical issues involved in its implementation, is covered and the arguments put forward emphatically show the superiority of downside risk models to variance models in terms of risk measurement and decision making. Variance considers all uncertainty to be risky. Downside-risk only considers returns below that needed to accomplish the investor's goal, to be risky. Risk is one of the biggest issues facing the financial markets today. 'Downside Risk in Financial Markets' outlines the major issues for Investment Managers and focuses on "downside-risk" as a key activity in managing risk in investment/portfolio management. Managing risk is now THE paramount topic within the financial sector and recurring losses through the 1990s has shocked financial institutions into placing much greater emphasis on risk management and control. Free Software Enclosed To help you implement the knowledge you will gain from reading this book, a CD is enclosed that contains free software programs that were previously only available to institutional investors under special licensing agreement to The pension Research Institute. This is our contribution to the advancement of professionalism in portfolio management. The Forsey-Sortino model is an executable program that: 1. Runs on any PC without the need of any additional software. 2. Uses the bootstrap procedure developed by Dr. Bradley Effron at Stanford Un
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