Downside Risk

Sortino, F. A., & Meer, R. v. d. (1991). Downside Risk. Journal of Portfolio Management, 27-31.

Type

Journal article

Intellectual base

Primary research

Year

1991

Link

https://doi.org/10.3905/jpm.1991.409343matched

Cited by

1 citation across 1 artifact.

Domain-specific

• Upside Potential Ratio
  • It is not the Sortino ratio: the conventional Sortino numerator is mean return minus target, so below-target observations reduce the numerator rather than simply contributing zero to an upper partial moment.

Verification

This reference passed the adversarial substantiation pipeline: it was checked to exist and to support the claim it is attached to. See how references were verified.

Registry ID ref:16d6fcd00126 · see in the full table