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Upside potential ratio

  

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.

where - return, - probability of such return, , - minimal acceptable return.

The measure was developed by Frank A. Sortino.

See also

  • Modern portfolio theory
  • Sharpe ratio
  • Sortino ratio

    External link

  • Paper by Frank A. Sortino


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