𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A NOTE ON RELATIONS BETWEEN SEASONALLY ADJUSTED VARIABLES

✍ Scribed by Paul Newbold

Book ID
111039375
Publisher
John Wiley and Sons
Year
1980
Tongue
English
Weight
250 KB
Volume
1
Category
Article
ISSN
0143-9782

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πŸ“œ SIMILAR VOLUMES

A note on the relationships between some
A note on the relationships between some risk-adjusted performance measures
✍ Donald Lien πŸ“‚ Article πŸ“… 2002 πŸ› John Wiley and Sons 🌐 English βš– 100 KB

## Abstract Assuming portfolio returns are normally distributed, it is shown that both Sortino ratio (SR) and upside potential ratio (UPR) are monotonically increasing functions of the Sharpe ratio. As a result, all three risk‐adjusted performance measures provide identical ranking among investment