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Correct answer is D
A is incorrect. II - The information ratio, not the Sortino ratio, compares the portfolio return to the return of a benchmark portfolio. III - The Sortino ratio allows one to evaluate portfolios obtained through an optimization algorithm that uses semi-variance, not variance, as a risk metric.ffice ffice" />
B is incorrect. III - The Sortino ratio allows one to evaluate portfolios obtained through an optimization algorithm that uses semi-variance, not variance, as a risk metric.
C is incorrect. III - The Sortino ratio allows one to evaluate portfolios obtained through an optimization algorithm that uses semi-variance, not variance, as a risk metric.
D is correct. I - Since the Sortino ratio uses the notion of semi-variance, it is more appropriate for asymmetric return distributions than any metric that uses standard deviation (such as the Sharpe ratio). IV - The Sortino ratio is similar to the Sharpe ratio, except the risk free rate is replaced with the minimum acceptable return in the numerator and the standard deviation of the returns is replaced with the standard deviation of the returns below the minimum acceptable return in the denominator. II - The information ratio, not the Sortino ratio, compares the portfolio return to the return of a benchmark portfolio. III - The Sortino ratio allows one to evaluate portfolios obtained through an optimization algorithm that uses semi-variance, not variance, as a risk metric.
Reference: Amenc & Le Sourd. Portfolio Theory and Performance Analysis, Chapter 4, page 115-116. | 
发表于 2009-6-13 11:29
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