sortinog: Sortino Ratio Due To Rollinger And Hoffman (2013)

In Risk: Computes 26 Financial Risk Measures for Any Continuous Distribution

Description

Computes the Sortino ratio for a given ditribution

Usage

sortinog(spec, alpha, a, b, ...)

Arguments

spec	a character string specifying the distribution (for example, "norm" corresponds to the standard normal)
alpha	a real valued parameter, see Chan and Nadarajah for details
a	the lower end point of the distribution specified by spec
b	the upper end point of the distribution specified by spec
...	other parameters

Value

An object of the same length as alpha, giving the Sortino ratio of the distribution specified by spec

Author(s)

Stephen Chan, Saralees Nadarajah

References

S. Chan and S. Nadarajah, Risk: An R package for risk measures, submitted

T. Rollinger and S. Hoffman, Sortino ratio: A better measure of risk, Risk Management, 40-42, 2013

Examples

sortinog("norm", 2, -Inf, Inf)

Risk documentation built on May 2, 2019, 3:34 p.m.