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A note on the “risk-adjusted” price–concentration relationship in banking

✍ Scribed by Elijah Brewer III; William E. Jackson III

Book ID
116614698
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
155 KB
Volume
30
Category
Article
ISSN
0378-4266

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A note on the relationships between some
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✍ Donald Lien 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 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