TY  - BOOK
AU  - Sortino,Frank A.
AU  - Satchell,Stephen
TI  - Managing downside risk in financial markets: theory, practice and implementation 
T2  - Quantitative finance series,
SN  - 0750648635
AV  - HG 4529 MAN
PY  - 2003///
CY  - Oxford
PB  - Butterworth-Heinemann
KW  - Investment analysis
KW  - Investment analysis - statistical methods
KW  - Risk management - statistical methods
KW  - Portfolio management
N1  - 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
UR  - http://www.myilibrary.com?id=101339
UR  - https://public.ebookcentral.proquest.com/choice/publicfullrecord.aspx?p=296749
ER  -