UID:
almahu_9949697493802882
Umfang:
1 online resource (282 p.)
ISBN:
1-281-01339-0
,
9786611013394
,
1-4294-8376-8
,
0-08-049620-2
Serie:
Quantitative finance series
Inhalt:
Quantitative methods have revolutionized the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury activities, and governmental activity such as central banking to name but some of the applications. Downside-risk, as a quantitative method, is an accurate measurement of investment risk, because it captures the risk of not accomplishing the investor's goal.'Downside Risk in Financial Markets' demonstrates how downside-risk can produce better results in performance measurement and asset allocation than variance modelling. Theory, as well as the
Anmerkung:
Description based upon print version of record.
,
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
,
English
Weitere Ausg.:
ISBN 0-7506-4863-5
Sprache:
Englisch
