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Performance Measurement in a Downside Risk Framework · Study

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ArticlePerformance Measurement in a Downside Risk Framework

Frank A. Sortino1994

Article1994

Performance Measurement in a Downside Risk Framework

Frank A. Sortino · Lee N. Price

899 citations·0/0 files stored·The Journal of Investing

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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2010Portfolio selection with higher moments 1999A Brief History of Downside Risk Measures 2008Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance 2023Recent advances in reinforcement learning in finance 2020Human Capital Efficiency and Equity Funds’ Performance during the COVID-19 Pandemic 2019Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets 2020Deep Learning for Portfolio Optimization 2020The Resilience of Islamic Equity Funds during COVID-19: Evidence from Risk Adjusted Performance, Investment Styles and Volatility Timing

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Year1994

Typearticle

Published1994-08-31

VenueThe Journal of Investing

ISSN-L1068-0896

Languageen

Citations899

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.3905/joi.3.3.59

openalex_workW2148654185

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