标题: Roy shapre sortino sandwich [打印本页]

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作者: bchadwick    时间: 2011-7-13 14:53     标题: Roy shapre sortino sandwich

So sharpe starts it off..he's the man

port-rf/stnd dev = excess return per total unit of risk

then roy steps in and steals sharpe with a little tweak

port-minimum acceptable/stnd dev =

Then sortino jumps in and steals a bit himself from sharpe

port-rf/semi-deviation (same as downside dev)

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作者: nannan66    时间: 2011-7-13 14:53

Sortino is port-MAR/downside dev

MAR could be rf though but not necessarily

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