Optimal strategies under omega ratio

DOI10.1016/j.ejor.2018.11.046zbMath1431.91353OpenAlexW3125213718WikidataQ128903348 ScholiaQ128903348MaRDI QIDQ1713773

Carole Bernard, Steven Vanduffel, Jiang Ye

Publication date: 28 January 2019

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2018.11.046

zbMATH Keywords

investment analysisill-posednessperformance measurementomega ratiooptimal portfolio choice

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (8)

BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO ⋮ An omega portfolio model with dynamic return thresholds ⋮ Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion ⋮ Optimal multivariate financial decision making ⋮ Omega ratio optimization with actuarial and financial applications ⋮ Mean-expectile portfolio selection ⋮ PORTFOLIO OPTIMIZATION WITH PERFORMANCE RATIOS ⋮ Optimal management of DC pension fund under the relative performance ratio and VaR constraint

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