Term Glossary

Metrics, Models & Concepts

Expected Upside Return


Expected upside rate of return represents the mean of a probabilty distribution above a certain threshold: \begin{equation} E_{t-1}(r_{t}|r_{t}\geq{R}) \end{equation}

\(r\)
asset return
\(R\)
threshold return


Function Reference
portfolio_expectedUpsideReturn, position_expectedUpsideReturn