Sortino ratio measures the ratio of the average rate of return E(RP), in excess of the risk-free rate RF, to the semi-standard deviation,这句话里面的in excess of the risk-free rate RF是不是有问题,应该是超过MAR (minimum acceptable return) 吧?
已回答
“Expected shortfall is the EL of tail distribution”课上讲的这句话没太理解,EL不是已经放入定价中的损失吗?为什么在Tail Loss里面还会提到?