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downside-deviation

  1. Nicole Seaman

    YouTube T1-12 Downside risk measures: semi-deviation, downside deviation, and Sortino ratio

    The two typical measures of downside risk focus on only the "bad" dispersion: Semi-deviation squares returns below the MEAN return, while downside deviation squares returns below a TARGET return (aka, minimum acceptable return, MAR). The Sortino Ratio divides by the downside deviation. David's...
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