PT - JOURNAL ARTICLE AU - Philip O'Connor AU - Michael S. Rozeff TI - Are Gain and Loss Respectable? AID - 10.3905/jpm.2002.319855 DP - 2002 Jul 31 TA - The Journal of Portfolio Management PG - 61--69 VI - 28 IP - 4 4099 - https://pm-research.com/content/28/4/61.short 4100 - https://pm-research.com/content/28/4/61.full 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.