Return Targets and Shortfall Risks: Studies in Strategic Asset Allocation

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...
See more details below
Available through our Marketplace sellers.
Other sellers (Hardcover)
  • All (21) from $1.99   
  • New (3) from $60.74   
  • Used (18) from $1.99   
Close
Sort by
Page 1 of 1
Showing All
Note: Marketplace items are not eligible for any BN.com coupons and promotions
$60.74
Seller since 2008

Feedback rating:

(218)

Condition:

New — never opened or used in original packaging.

Like New — packaging may have been opened. A "Like New" item is suitable to give as a gift.

Very Good — may have minor signs of wear on packaging but item works perfectly and has no damage.

Good — item is in good condition but packaging may have signs of shelf wear/aging or torn packaging. All specific defects should be noted in the Comments section associated with each item.

Acceptable — item is in working order but may show signs of wear such as scratches or torn packaging. All specific defects should be noted in the Comments section associated with each item.

Used — An item that has been opened and may show signs of wear. All specific defects should be noted in the Comments section associated with each item.

Refurbished — A used item that has been renewed or updated and verified to be in proper working condition. Not necessarily completed by the original manufacturer.

New

Ships from: Chicago, IL

Usually ships in 1-2 business days

  • Standard, 48 States
  • Standard (AK, HI)
$105.00
Seller since 2015

Feedback rating:

(241)

Condition: New
Brand new.

Ships from: acton, MA

Usually ships in 1-2 business days

  • Standard, 48 States
  • Standard (AK, HI)
$135.44
Seller since 2015

Feedback rating:

(366)

Condition: New
Brand New Item.

Ships from: Chatham, NJ

Usually ships in 1-2 business days

  • Canadian
  • International
  • Standard, 48 States
  • Standard (AK, HI)
  • Express, 48 States
  • Express (AK, HI)
Page 1 of 1
Showing All
Close
Sort by
Sending request ...

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.

Written by three of today's top investment experts, this handbook explains how investors can maintain a consistent risk/reward posture as interest rates and other fundmental marklet conditions change. Covers several critical investment issues, from hedging to yield curve positioning and many others.

Read More Show Less

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)
Read More Show Less

Product Details

  • ISBN-13: 9781557389169
  • Publisher: McGraw-Hill Companies, The
  • Publication date: 12/1/1995
  • Pages: 502
  • Product dimensions: 6.30 (w) x 9.28 (h) x 1.16 (d)

Table of Contents

About the Authors
Preface
Ch. 1 Introduction 1
Ch. 2 Asset Allocation under Shortfall Constraints 17
Ch. 3 Asset Performance and Surplus Control: A Dual-Shortfall Approach 33
Ch. 4 Asset Allocation under Liability Uncertainty 61
Ch. 5 "Optimal" Portfolios Relative to Benchmark Allocations 89
Ch. 6 Total Portfolio Duration and Relative Returns 113
Ch. 7 Return Targets, Shortfall Risks, and Market Realities 139
Ch. 8 Interest-Rate Sensitive Asset Allocation: A New Approach to Strategic Asset Allocation 157
Ch. 9 Strategic Allocation under Changing Market Conditions 173
Ch. 10 Funding Ratio Return: A More "Universal Measure for Asset/Liability Management 191
Ch. 11 Pension Fund Risk Capacity: Surplus and Time-Horizon Effects on Asset Allocation 207
Ch. 12 The Opportunity for Greater Flexibility in the Bond Component: The Total Fund Effect 225
Ch. 13 Benchmark Departures and Total Fund Risk: A Second Dimension of Diversification 241
Ch. 14 The Hierarchy of Benchmarks: Structuring Retirement Fund Risk 259
Ch. 15 A Shortfall Approach to Duration Management 279
Ch. 16 Statistical Duration: A Spread Model of Rate Sensitivity across Fixed-Income Sectors 303
Ch. 17 The Spread Curve and the Risk/Return Decision: Structuring Fixed-Income Portfolios for Treasury Benchmarks 323
Ch. 18 The Spread Curve and a Mixed-Sector Benchmark: Structuring Fixed-Income Portfolios for Relative Performance 339
Ch. 19 Spread Immunization: Portfolio Improvements through Dollar-Duration Matching 357
Ch. 20 Yield-Curve Positioning for Multisector Bond Portfolios 373
Ch. 21 Global Fixed-Income Investing: The Impact of the Currency Hedge 393
Ch. 22 Interest-Rate Risks in Currency-Hedged Bond Portfolios 417
Ch. 23 The Volatility of Hedged Global Fixed-Income Investments 441
Ch. 24 The Duration of Hedged Global Fixed-Income Investments 457
Ch. 25 Global Fixed-Income Investments: The Persistence Effect 477
Index 491
Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star

(0)

4 Star

(0)

3 Star

(0)

2 Star

(0)

1 Star

(0)

Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation

Reminder:

  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

 
Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)