Concepedia

Sortino Ratio

The Sortino Ratio is a performance metric that differentiates itself from other risk-adjusted return measures by focusing exclusively on downside deviation as the risk component, thereby evaluating an investment's return relative to its negative volatility rather than total volatility.

45

Publications

1.4K

Citations

87

Authors

60

Institutions

Publications per year

2017–2026

22

Parents

Publications

45

The risk-adjusted return potential of integrating ESG strategies into emerging market equities

Matthew W. Sherwood, Julia Pollard · Journal of Sustainable Finance & Investment · 2017 · 139 citations

, , +17

On the foundation of performance measures under asymmetric returns

Christian Sejer Pedersen, Stephen Satchell · Quantitative Finance · 2002 · 103 citations

, , +14

Sortino Ratio Based Portfolio Optimization Considering EVs and Renewable Energy in Microgrid Power Market

Vivek Mohan, Jai Govind Singh, Weerakorn Ongsakul · IEEE Transactions on Sustainable Energy · 2016 · 82 citations

, , +16

Predictable patterns in ETFs' return and tracking error

Gerasimos G. Rompotis · Studies in Economics and Finance · 2011 · 64 citations

, , +17

E-Payment Technology Effect on Bank Performance in Emerging Economies–Evidence from Nigeria

Saidi Atanda Mustapha · Journal of Open Innovation Technology Market and Complexity · 2018 · 59 citations · Full text

, , +14

1–5 of 45

Authors

87

  1. FG
    Fernando García

    Universitat Politècnica de València, Spain

    3 publications · 130 citations

    3

    h-index

  2. JO
    Javier Oliver

    Universitat Politècnica de València, Spain

    3 publications · 130 citations

    3

    h-index

  3. JG
    Jairo González-Bueno

    Universidad Pontificia Bolivariana, Colombia

    3 publications · 130 citations

    3

    h-index

  4. KL
    Kyuho Lee

    University of California, Berkeley, United States

    2 publications · 31 citations

    2

    h-index

  5. RC
    Roberto Casarin

    Ca' Foscari University of Venice, Italy

    2 publications · 47 citations

    2

    h-index

1–5 of 87

Institutions

60

  1. Universidad Pontificia Bolivariana

    Medellín, Colombia

    3 h-index

    4 publications

    159 citations

  2. Universitat Politècnica de València

    Valencia, Spain

    3 h-index

    7 publications

    303 citations

  3. Satya Wacana Christian University

    Salatiga, Indonesia

    2 h-index

    2 publications

    53 citations

  4. Ca' Foscari University of Venice

    Venice, Italy

    2 h-index

    4 publications

    101 citations

  5. Canadian University of Dubai

    Dubai, United Arab Emirates

    2 h-index

    4 publications

    64 citations

  6. Western Michigan University

    Kalamazoo, United States

    1 h-index

    3 publications

    48 citations

  7. The University of Texas at Austin

    Austin, United States

    1 h-index

    2 publications

    28 citations

  8. Imperial College London

    London, United Kingdom

    1 h-index

    1 publications

    32 citations

1–8 of 60

Venues

  1. Quantitative Finance

    2 publications · 135 citations

    2

    h-index

  2. SSRN Electronic Journal

    Repository · 2 publications · 40 citations

    2

    h-index

  3. Sustainability

    2 publications · 91 citations

    2

    h-index

  4. PLoS ONE

    1 publications · 22 citations

    1

    h-index

  5. Borsa Istanbul Review

    1 publications · 35 citations

    1

    h-index

1–5