论文标题
使用排序比率的最佳分配
Optimal allocation using the Sortino ratio
论文作者
论文摘要
在本文中，我们提出了基于排序比率最大化的资产分配策略。与Sharpe比率不同，Sortino比率仅惩罚负差异。与任何时间范围不同，结果分配是有效的。基于这种分配的策略的回报使用历史道琼斯数据进行了经验说明，并在凯利标准等更传统的分配策略上显示了重大升级。
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.
