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Explanation:
The correct answer is C.
Explanation: The Sortino ratio uses the downside deviation as its risk measure. This addresses the problem of using standard deviation used by other risk measures since upside volatility is beneficial to investors.
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Q.14 Which of the following risk metrics measures the risk as downside deviation instead of standard deviation?
A
Treynor ratio
B
Sharpe ratio
C
Sortino ratio
D
Jensen measure