Return Targets and Shortfall Risks: Studies in Strategic Asset Allocation

by Martin L. Leibowitz, Lawrence N. Bader, Stanley Kogelman

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. by Book News, Inc., Portland, Or.

502 pages, Hardcover

First published December 1, 1995