encyclopedia

Upside potential ratio

The upside potential ratio is a measure of a return of an investment asset relative to the minimal acceptable return . The measurement allows to choose strategies with growth that is as stable as possible for a given minimum return.

$U = {{{\sum_{min}^{+\infty} {(R - R_{min}}) P_r}} \over \sqrt{{{\sum_{-\infty}^{min} {(R - R_{min}})^2 P_r}}}},$

where $R$ - return, $P r$ - probability of such return, $R m i n$ , $m i n$ - minimal acceptable return.

The measure was developed by Frank A. Sortino .

External link

Paper by Frank A. Sortino

Categories: Financial mathematics

The contents of this article are licensed from Wikipedia.org under the GNU Free Documentation License.
How to see transparent copy

01-04-2007 01:21:04

| | | |

Upside potential ratio

See also

External link