The Sortino Framework for Constructing Portfolios

The Sortino Framework for Constructing Portfolios : Focusing on Desired Target Return (TM) to Optimize Upside Potential Relative to Downside Risk

3 (2 ratings by Goodreads)
By (author) 

Free delivery worldwide

Available. Dispatched from the UK in 1 business day
When will my order arrive?


The most common way of constructing portfolios is to use traditional asset allocation strategies, which match the client's risk appetite to a weighted allocation strategy of fixed income, equities, and other types of assets. This method focuses on how the money is allocated, rather than on future returns.

The Sortino method presents an innovative change from this traditional approach. Rather than using the client's risk as the main factor, this method uses the client's desired return.
show more

Product details

  • Hardback | 192 pages
  • 152.4 x 231.14 x 22.86mm | 362.87g
  • Amsterdam, Netherlands, United States
  • English
  • 0123749921
  • 9780123749925

Table of contents

Building the Framework

Chapter 1. The Big Picture.

Chapter 2. Getting All The Pieces of the Puzzle.

Chapter 3. Beyond the Sortino Ratio

Chapter 4. Optimization & Portfolio Selection


Chapter 5. Birth of the DTRTM 401(k) Plan:

Chapter 6. A Reality Check From An Institutional Investor:

Chapter 7. Integrating the DTR Framework into a Complex Corporate Structure:

Chapter 8. The Role of Regulation in the Next Financial Market Evolution:

Chapter 9. Sharing Downside Risk in Defined Benefit Pension Plans:

Chapter 10. (Reprint) On the Foundation of Performance Measures under Asymmetric Returns, Christian S. Pedersen and Stephen E. Satchell

Appendix 1. Formal Definitions and Procedures
show more

About Frank A. Sortino

Dr. Sortino founded the Pension Research Institute in 1981, focusisng on problems facing fiduciaries. He is also Professor of Finance Emeritus at San Francisco State University. He is known internationally for his published research on measuring and managing investment risk and the widely used Sortino Ratio.
show more

Rating details

2 ratings
3 out of 5 stars
5 0% (0)
4 50% (1)
3 0% (0)
2 50% (1)
1 0% (0)
Book ratings by Goodreads
Goodreads is the world's largest site for readers with over 50 million reviews. We're featuring millions of their reader ratings on our book pages to help you find your new favourite book. Close X