Search
Browse Categories
Products
Kappa: A Generalized Downside Risk-Adjusted Performance Measure
Authors: Paul D. Kaplan, Ph.D., James A. Knowles
Price: $25.00

Detailed Description

The Sortino Ratio and the more recently developed Omega statistic are conceptually related "downside" risk-adjusted return measures, but appear distinct mathematically.  We show that each of these measures is a special case of Kappa, a generalized risk-adjusted performance measure.  A single parameter of Kappa determines whether the Sortino Ratio, Omega, or another risk-adjusted return measure is generated.

Product Reviews

(0 Ratings, 0 Reviews)
Shopping Cart
Your cart is empty.