Managing Downside Risk in Financial Markets. Theory, Practice and Implementation

Content: 
Contributors, Pages vii-x
Preface, Pages xi-xiv, Frank A. Sortino, Stephen E. Satchell
Chapter 1 - From alpha to omega, Pages 3-25, Frank A. Sortino
Chapter 2 - The Dutch view: Developing a strategic benchmark in an ALM framework, Pages 26-40, Robert van der Meer
Chapter 3 - The consultant/financial planner\'s view: A new paradigm for advising individual accounts, Pages 41-50, Sally Atwater
Chapter 4 - The mathematician\'s view: Modelling uncertainty with the three parameter lognormal, Pages 51-58, Hal Forsey
Chapter 5 - A software developer\'s view: Using Post-Modern Portfolio Theory to improve investment performance measurement, Pages 59-73, Brian M. Rom, Kathleen W. Ferguson
Chapter 6 - An evaluation of value at risk and the information ratio (for investors concerned with downside risk), Pages 74-92, Joseph Messina
Chapter 7 - A portfolio manager\'s view of downside risk, Pages 93-100, Neil Riddles
Chapter 8 - Investment risk: A unified approach to upside and downside returns, Pages 103-155, Leslie A. Balzer
Chapter 9 - Lower partial-moment capital asset pricing models: A re-examination, Pages 156-168, Stephen E. Satchell
Chapter 10 - Preference functions and risk-adjusted performance measures, Pages 169-193, Auke Plantinga, Sebastiaan De Groot
Chapter 11 - Building a mean-downside risk portfolio frontier, Pages 194-211, Gustavo M. de Athayde
Chapter 12 - FARM: A financial actuarial risk model, Pages 212-244, Robert S. Clarkson
Appendix - The Forsey-Sortino model tutorial, Pages 245-252
Index, Pages 253-267