semi-deviation
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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...- Nicole Seaman
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- downside-deviation semi-deviation sortino-ratio youtube
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- Forum: P1.T1 Foundations of Risk