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The Sortino Framework for Constructing Portfolios by Frank A. Sortino

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Chapter 9. Sharing Downside Risk in Defined Benefit Pension Funds
Auke Plantinga, Robert van der Meer and Frank Sortino

Executive Summary

Auke Plantinga, Robert van der Meer, and Frank Sortino offer a new approach for managing downside risk in defined benefit plans that decomposes downside risk in a manner that allows the various parties to evaluate their share of the losses. This chapter is intended to add to the theoretical foundation for applications of downside risk.

Introduction

Pension funds received a lot of attention during recent turbulent stock markets. Many pension funds suffered dramatic losses. Franzoni and Marin (2006) report that defined benefit plans in the United States lost $400 billion in funding levels during the period 2000 to ...

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