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  • November 23, 2011 at 4:46 am #132
    TS
    Member

    Sortino Ratio

    November 23, 2011 at 4:46 am #655
    Anonymous
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    I’m having a challenge calculating the lower partial moments(LPM) for Sortino Ratio. I’ve use the expected maximum values but can’t seem do get the correct values. Any ideas?

    December 12, 2011 at 12:16 pm #656
    Anonymous
    Guest

    LPM2 for Sortino ratio is simple semi-variation.

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