JFE (version 2.5.6)

ProspectRatio: Prospect ratio of the return distribution

Description

Prospect ratio is a ratio used to penalise loss since most people feel loss greater than gain

Usage

ProspectRatio(R, MAR)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

MAR

the minimum acceptable return

Author

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

Details

$$ProspectRatio(R) = \frac{\frac{1}{n}*\sum^{n}_{i=1}(Max(r_i,0)+2.25*Min(r_i,0) - MAR)}{\sigma_D}$$

where \(n\) is the number of observations of the entire series, MAR is the minimum acceptable return and \(\sigma_D\) is the downside risk

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.100
See also package PerformanceAnalytics.

Examples

  data(assetReturns)
	R=assetReturns[, -29]

  ProspectRatio(R, MAR=0)