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Portfolio Optimization for Expected Sortino ratio

(Last Updated On: October 13, 2017)

Portfolio Optimization for Expected Sortino ratio

Correction has been made to adjust for highly volatile currency/forex pairs. This mix of optimal weights give highest forecasted Sortino ratio for the potential next time period.

http://www.investopedia.com/terms/s/sortinoratio.asp

http://www.investopedia.com/terms/s/sharperatio.asp

Corrected https://www.rcmalternatives.com/2013/09/sortino-ratio-are-you-calculating-it-wrong/

 

 

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