## 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
✦ LIBER ✦
Compatibility between pricing rules and risk measures: The CCVaR
✍ Scribed by Alejandro Balbás; Raquel Balbás
- Publisher
- Springer Milan
- Year
- 2009
- Tongue
- English
- Weight
- 207 KB
- Volume
- 103
- Category
- Article
- ISSN
- 1578-7303
No coin nor oath required. For personal study only.
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