Managing Downside Risk in Financial Markets - 1st Edition - ISBN: 9780750648639, 9780080496207

Managing Downside Risk in Financial Markets

1st Edition

Editors: Frank Sortino Stephen Satchell
Hardcover ISBN: 9780750648639
eBook ISBN: 9780080496207
Imprint: Butterworth-Heinemann
Published Date: 20th September 2001
Page Count: 272
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Table of Contents

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.


Description

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.

Key Features

  • Brings together a range of relevant material, not currently available in a single volume source.
  • Provides practical information on how financial organisations can use downside risk techniques and technological developments to effectively manage risk in their portfolio management.
  • Provides a rigorous theoretical underpinning for the use of downside risk techniques. This is important for the long-run acceptance of the methodology, since such arguments justify consultant's recommendations to pension funds and other plan sponsors.

Readership

Investment/portfolio managers; Equity trust/fund managers; Portfolio planners in most financial institutions and investment houses; Directors of quantitative analysis; Chief economists in investment houses; Consultants; Actuaries; Risk managers; Regulators; Central bankers.


Details

No. of pages:
272
Language:
English
Copyright:
© Butterworth-Heinemann 2001
Published:
Imprint:
Butterworth-Heinemann
eBook ISBN:
9780080496207
Hardcover ISBN:
9780750648639

About the Editors

Frank Sortino Editor

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.

Affiliations and Expertise

Chairman and Chief Investment Officer, Pension Research Institute

Stephen Satchell Editor

Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.

Affiliations and Expertise

Consultant to financial institutions and Reader in Financial Econometrics at Trinity College, Cambridge, Stephen Satchell is Editor-in-Chief of the Journal of Asset Management and Derivatives, Use, Trading, and Regulation. He has edited or authored over 20 books on finance.