ProspectRatio: Prospect ratio of the return distribution

In tsungwu/JFE: Tools and GUI for Analyzing Time Series Data of Just Finance and Econometrics

Prospect ratio of the return distribution

Description

Prospect ratio is a ratio used to penalise loss since most people feel loss greater than gain

Usage

ProspectRatio(R, MAR, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
MAR	the minimum acceptable return
...	any other passthru parameters

Details

ProspectRatio(R) = (1/n * sum(Max(ri,0) + 2.25 * Min(ri,0)) - MAR) / DownsideRisk

where n is the number of observations of the entire series, MAR is the minimum acceptable return and σ_D is the downside risk

Author(s)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.100
See also package PerformanceAnalytics.

Examples

  data(assetReturns)
	R=assetReturns[, -29]

  ProspectRatio(R, MAR=0)

tsungwu/JFE documentation built on May 10, 2022, 1:22 p.m.