𝔖 Bobbio Scriptorium
✦   LIBER   ✦

SOME NOTES ON RISK

✍ Scribed by H. R. Parker

Book ID
111043801
Publisher
John Wiley and Sons
Year
1953
Tongue
English
Weight
383 KB
Volume
5
Category
Article
ISSN
0026-1386

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

A note on the relationships between some
A note on the relationships between some risk-adjusted performance measures
✍ 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

Some comments on risk
Some comments on risk
✍ Clive W. J. Granger 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 92 KB

## Abstract Investor risk is a complicated concept in practice and is not well captured by measures of volatility as is well understood by uncertainty theory. Rather than asking statisticians to attempt to measure risk, it may be better to listen to decision theorists, but their suggestions are not