sortinog {Risk} | R Documentation |
Computes the Sortino ratio for a given ditribution
sortinog(spec, alpha, a, b, ...)
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 |
b |
the upper end point of the distribution specified by |
... |
other parameters |
An object of the same length as alpha
, giving the Sortino ratio of the distribution specified by spec
Stephen Chan, Saralees Nadarajah
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
sortinog("norm", 2, -Inf, Inf)