Return Targets and Shortfall Risks: Studies in Strategic Asset Allocation

Return Targets and Shortfall Risks: Studies in Strategic Asset Allocation

by Martin L. Leibowitz, Stanley Kogelman, Lawrence N. Bader, Lawrence Bader
     
 

Return Targets and Shortfall Risks is a series of studies developed at Salomon Brothers Inc that is based on the concept of "shortfall risk" - the risk of failing to earn the minimum return that a manager regards as critical. The shortfall risk's focus on downside variation more closely reflects the investor's true sense of risk. This is unlike the traditional risk… See more details below

Overview

Return Targets and Shortfall Risks is a series of studies developed at Salomon Brothers Inc that is based on the concept of "shortfall risk" - the risk of failing to earn the minimum return that a manager regards as critical. The shortfall risk's focus on downside variation more closely reflects the investor's true sense of risk. This is unlike the traditional risk measure, volatility (or standard deviation of returns), which fails to distinguish between upward and downward return fluctuations. The shortfall risk measure provides the advantage of treating higher expected returns as a cushion against the full impact of volatility, and it can also be used to help the fund maintain its minimum target levels as interest rates change. Changing financial market conditions can create severe stress within institutional investment portfolios, particularly in pension funds that must meet on-going obligations. Written by three top investment experts, Return Targets and Shortfall Risks explains how you can maintain a consistent risk/reward posture as interest rates and other fundamental market conditions change.

Read More

Editorial Reviews

Booknews
A series of studies developed at Salomon Brothers Inc. that is based on the concept of shortfall risk, which is the risk of failing to earn the minimum return that an investment manager regards as critical. The approach has the advantage over conventional risk measures by distinguishing between upward and downward return fluctuations. By treating higher expected returns as a cushion against the full impact of volatility, it can help a fund maintain its minimum target levels as interest rates change. Annotation c. Book News, Inc., Portland, OR (booknews.com)

Product Details

ISBN-13:
9781557389169
Publisher:
McGraw-Hill Companies, The
Publication date:
12/01/1995
Pages:
502
Product dimensions:
6.30(w) x 9.28(h) x 1.16(d)

Customer Reviews

Average Review:

Write a Review

and post it to your social network

     

Most Helpful Customer Reviews

See all customer reviews >