Managing downside risk in financial markets : theory, practice and implementation /
- Oxford : Butterworth-Heinemann, 2003.
- xiv, 267 pages : Illustrations ;
- Quantitative finance series, .
Includes index.
Cover; Managing Downside Risk in Financial Markets: Theory, Practice and Implementation; Copyright Page; Contents; List of contributors; Preface; Part 1: Applications of Downside Risk; Chapter 1. From alpha to omega; Chapter 2. The Dutch view: developing a strategic benchmark in an ALM framework; Chapter 3. The consultant/financial planner's view: a new paradigm for advising individual accounts; Chapter 4. The mathematician's view: modelling uncertainty with the three parameter lognormal. Chapter 5. A software developer's view: using Post-Modern Portfolio Theory to improve investment performance measurement Chapter 6. An evaluation of value at risk and the information ratio (for investors concerned with downside risk); Chapter 7. A portfolio manager's view of downside risk; Part 2: Underlying Theory; Chapter 8. Investment risk: a uni.ed approach to upside and downside returns; Chapter 9. Lower partial-moment capital asset pricing models: a re-examination; Chapter 10. Preference functions and risk-adjusted performance measures. Chapter 11. Building a mean-downside risk portfolio frontier Chapter 12. FARM: a financial actuarial risk model; Appendix The Forsey-Sortino model tutorial; Index.