[推荐][下载]Managing Downside Risk in Financial Markets

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Author：Frank Sortino , Stephen Satchell

ISBN:0750648635

Pages：272 pages

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[推荐][下载]Managing Downside Risk in Financial Markets
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Contents
List of contributors vii
Preface xi
Part 1 Applications of Downside Risk 1
1 From alpha to omega 3
Frank A. Sortino
2 The Dutch view: developing a strategic benchmark in an
ALM framework 26
Robert van der Meer
3 The consultant/financial planner’s view: a new paradigm for
advising individual accounts 41
Sally Atwater
4 The mathematician’s view: modelling uncertainty with the
three parameter lognormal 51
Hal Forsey
5 A software developer’s view: using Post-Modern Portfolio
Theory to improve investment performance measurement 59
Brian M. Rom and Kathleen W. Ferguson
6 An evaluation of value at risk and the information ratio (for
investors concerned with downside risk) 74
Joseph Messina
7 A portfolio manager’s view of downside risk 93
Neil Riddles
Part 2 Underlying Theory 101
8 Investment risk: a unified approach to upside and downside
returns 103
Leslie A. Balzer
9 Lower partial-moment capital asset pricing models: a
re-examination 156
Stephen E. Satchell
10 Preference functions and risk-adjusted performance
measures 169
Auke Plantinga and Sebastiaan de Groot
11 Building a mean-downside risk portfolio frontier 194
Gustavo M. de Athayde
12 FARM: a financial actuarial risk model 212
Robert S. Clarkson
Appendix The Forsey–Sortino model tutorial 245
Index 253
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[推荐][下载]Managing Downside Risk in Financial Markets
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[此贴子已经被作者于2008-3-4 19:27:11编辑过]

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