The Sortino Framework for Constructing Portfolios book cover

The Sortino Framework for Constructing Portfolios

Focusing on Desired Target Return™ to Optimize Upside Potential Relative to Downside Risk

Hardbound, 192 Pages

Published: October 2009

Imprint: Elsevier

ISBN: 978-0-12-374992-5


  • 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


    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


advert image