Research Catalog

Title

Return targets and shortfall risks : studies in strategic asset allocation / Martin L. Leibowitz, Lawrence N. Bader, Stanley Kogelman.

Author

Leibowitz, Martin L., 1936-

Publication

Chicago : Irwin Professional Pub., [1996], ©1996.

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Holdings

Details

Additional Authors

• Bader, Lawrence N.
• Kogelman, Stanley.

Description

xxi, 502 pages : illustrations; 24 cm

Summary

• 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.

Subjects

• Portfolio management
• Asset allocation

Bibliography (note)

• Includes bibliographical references and index.

Contents

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

ISBN

1557389160

LCCN

95033464

OCLC

ocm33041826

Owning Institutions

Columbia University Libraries