Omega ratio optimization with actuarial and financial applications
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Publication:2030584
DOI10.1016/j.ejor.2020.10.023zbMath1487.91108OpenAlexW3095700365MaRDI QIDQ2030584
Beatriz Balbás, Raquel Balbás, Alejandro Balbas
Publication date: 7 June 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2020.10.023
Optimality conditions and duality in mathematical programming (90C46) Programming in abstract spaces (90C48) Portfolio theory (91G10) Actuarial mathematics (91G05)
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