Downside risk
Open accessIntegrity signals
Registry
Cites
Statistics
Claims the paper makes
Claims other papers make about this one
Each is checked against this paper’s own text: does it say what the citing paper says it does?
The Sortino ratio is more appropriate than the Sharpe ratio when returns are asymmetric, as it focuses on negative volatility.
“This metric is more appropriate than the Sharpe ratio when returns are asymmetric, as it focuses on negative volatility (Sortino and Van der Meer, 1991; Pedersen and Satchell, 2002).”
From StockBench: Can LLM Agents Trade Stocks Profitably In Real-world Markets? (2025) · cites this paper as Sortino and Van der Meer, 1991
Cited by
Sorted by citations
The role of bitcoin in well diversified portfolios: A comparative global study
Kajtazi, A., & Moro, A. (2019) · International Review of Financial Analysis · doi:10.1016/j.irfa.2018.10.003 · Cited by 271 · see citing works
Reverse quantum annealing approach to portfolio optimization problems
Venturelli, D., & Kondratyev, A. (2019) · Quantum Machine Intelligence · doi:10.1007/s42484-019-00001-w · Cited by 233 · see citing works
StockBench: Can LLM Agents Trade Stocks Profitably In Real-world Markets?
Chen, Y., Yao, Z., Liu, Y., Xin, A., Ye, J., Yu, J., Hou, L., & Li, J. (2025) · arXiv · Cited by 1 · see citing works
- Authors
- Sortino, F. A., & van der Meer, R.
- Affiliations
- San Francisco State University (US)
- Venue
- The Journal of Portfolio Management
- Publisher
- With Intelligence LLC
- Published
- 1991-07-31
- Volume
- 17
- Issue
- 4
- Pages
- 27-31
- ISSN
- 0095-4918 (ISSN-L)
- 2168-8656
- OpenAlex
- W2482896810
- Cited by
- 605
- References
- 0
- Citations by year
- 2026: 35 · 2025: 33 · 2024: 20 · 2023: 38 · 2022: 22 · 2021: 30 · 2020: 32 · 2019: 27 · 2018: 38 · 2017: 15 · 2016: 19 · 2015: 26 · 2014: 26 · 2013: 30 · 2012: 30
- FWCI
- 1.99
- Type
- journal article
- Language
- en
- Open access
- green
- research.rug.nl
- Licence
- other-oa
- Locations
- The Journal of Portfolio Management (publishedVersion)
- University of Groningen research database (University of Groningen / Centre for Information Technology) (publishedVersion, other-oa)
- University of Groningen research database (University of Groningen / Centre for Information Technology) (submittedVersion, other-oa)
- Topics
- Social Sciences › Decision Sciences › Management Science and Operations Research › Risk and Portfolio Optimization
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Keywords
- downside risk, value at risk, portfolio risk measurement, downside deviation
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
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