Frank Sortino, Stephen Satchell, “Managing Downside Risk in Financial Markets”
English | 2001 | ISBN: 0750648635 | 272 pages | PDF | 1.22 MB

 

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 practical issues involved in its implementation, is covered and the arguments put forward emphatically show the superiority of downside risk models to variance models in terms of risk measurement and decision making. Variance considers all uncertainty to be risky. Downside-risk only considers returns below that needed to accomplish the investor’s goal, to be risky.

 


14 Days Free Access to USENET
Free 300 GB with 10 GB High-Speed




Comments are closed.