Upside potential ratio

del.icio.us del.icio.us
Digg Digg
Furl Furl
Reddit Reddit
Rojo Rojo
Add to OnlyWire

The upside potential ratio is a measure of a return of an investment asset relative to the minimal acceptable return. The measurement allows a firm or individual 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, Pr - probability of such return, Rmin, min - minimal acceptable return.

The upside potential ratio may also be expressed as a ratio of partial moments.

The measure was developed by Frank A. Sortino.

See also

External links

Retrieved from "http://en.wikipedia.org/wiki/Upside_potential_ratio"

This article is from Wikipedia. All text is available under the terms of the GNU Free Documentation License.