Extended omega ratio optimization for risk‐averse investors (Q5278224)
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scientific article; zbMATH DE number 6744657
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extended omega ratio optimization for risk‐averse investors |
scientific article; zbMATH DE number 6744657 |
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Extended omega ratio optimization for risk‐averse investors (English)
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13 July 2017
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omega ratio optimization
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mean-risk models
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semi-mean absolute deviation
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minimax value
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conditional value at risk
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in-sample and out-of-sample analysis
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