Work

Optimal allocation using the Sortino ratio

Year: 2020

Type: preprint

Abstract: In this paper we present an asset allocation strategy based on the maximization of the Sortino ratio. Unlike the Sharpe ratio, the Sortino ratio penalizes negative return variances only. The resulting allocation is valid for any time horizon unlike. The returns of a strategy based on such an allocation are empirically illustrated using historical Dow Jones data and display a significant upgrade on more traditional allocation strategies such as the Kelly criterion.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.2007.06460

Authors: Nassar, Tarek, Ephrem, Sandro

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3041793497

Cites: 6

Cited by:

Related to: 20