November 2009
Intermediate to advanced
192 pages
4h 4m
English
Content preview from The Sortino Framework for Constructing PortfoliosBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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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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