RT Journal Article
SR Electronic
T1 Are Gain and Loss Respectable?
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 61
OP 69
DO 10.3905/jpm.2002.319855
VO 28
IS 4
A1 Philip O'Connor
A1 Michael S. Rozeff
YR 2002
UL https://pm-research.com/content/28/4/61.abstract
AB Properly defined, gain and loss are intuitive reward-risk concepts that have broad ramifications in finance. The authors use gain and loss to explain diversification and asset pricing. Their approach allows the effect of unmatched gains and losses to drive the benefit of diversification. The market portfolio is seen as having the highest gain-loss ratio of all assets.