Sortino ratio - Open Access .click

Results 131 to 140 of about 451 (149)

Some of the next articles are maybe not open access.

COMPARATIVE ANALYSIS OF THE RISK OF THE SPORTS INDEX APPLYING THE SHARPE, SORTINO AND TREYNOR RATIOS

Menadžment u sportu
This paper evaluates the returns and risk of the European Football Clubs Index (EFCI), including Manchester United, Juventus, Benfica, and Celtic, using Sharpe, Sortino, and Treynor ratios. Bivariate portfolios are constructed using the minimum variance approach and optimal weights according to the Kroner and Ng formula.
Ivana Putić, Suzana Balaban, Milica Simić +2 more
openaire +1 more source

Maximizing the Sortino Ratio: downside risk management and alpha yielding

Anais do Simpósio Brasileiro de Pesquisa Operacional
Leonardo Riegel Sant'Anna, PABLO GUEDES
exaly +2 more sources

Should Expected or Most Likely Returns be the Focus in Portfolio Choice Problems? Introducing Probability Dominance based “Most Likely” Sharpe and Sortino Ratios.

For the last 60 years, Generalized Expected Utility Theory, Rational Expectations, and tacit presumptions of symmetry in outcome distributions have been the foundational mainstay in decision-making paradigms which seek optimum risk tempered outcomes.
Gordon Anderson, Oliver B. Linton
openaire +1 more source

The Sortino Ratio and Extreme Value Theory: An Application to Asset Allocation

2020
Booth, G. Geoffrey, Broussard, John Paul
openaire +2 more sources

Beyond the Sortino Ratio