function?[SDD]?=?sortino（R?MAR）


%???[SDD]?=?sortino（R?MAR）?returns?the?Sortino?Ratio?and?Downside
%???Deviation?using?the?historical?returns?in?vector?R?and?a?minimum
%???acceptable?return?（MAR）
%??======================================================================
%??INPUTS:
%???R????-?vector?of?fund?returns
%???MAR??-?minimum?acceptable?return
%???
%??OUTPUTS:
%???DD???-?downside?deviation
%???S????-?sortino?ratio
%??======================================================================
%
%???Author:?Lorenzo?Brancali
%???E-mail:?lbrancali@gmail.com
%???Date:???5th?March?2012
%
%??======================================================================



for?j=1:size（R2）?
????
????F=R（:j）;


DD（:j）=sqrt（sum（nonzeros（F（FS（:j）=（mean（F）-MAR）/DD（:j）;

end

?屬性????????????大小?????日期????時間???名稱
-----------?---------??----------?-----??----
?????文件?????????818??2012-03-12?17:26??sortino.m
?????文件????????1316??2014-02-12?13:54??license.txt