TY - JOUR T1 - Are Gain and Loss Respectable? JF - The Journal of Portfolio Management SP - 61 LP - 69 DO - 10.3905/jpm.2002.319855 VL - 28 IS - 4 AU - Philip O'Connor AU - Michael S. Rozeff Y1 - 2002/07/31 UR - https://pm-research.com/content/28/4/61.abstract N2 - 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. ER -