Downside risk measures: semi-deviation, downside deviation, and Sortino ratio (FRM T1-12)

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. [Here is my excel http://trtl.bz/1109-yt-sortino-frm-t1...]

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