Robust omega ratio optimization using regular vines

DOI10.1007/s11590-020-01629-5zbMath1475.90050OpenAlexW3048801037MaRDI QIDQ2047199

Aparna Mehra, Anubha Goel

Publication date: 19 August 2021

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-020-01629-5

zbMATH Keywords

portfolio selectionARMA-GARCH modelomega ratiorobust portfolio optimizationvine copula

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Robustness in mathematical programming (90C17)

Related Items (1)

Individual and cooperative portfolio optimization as linear program

Uses Software

• forecast
• Forecast
• FinTS

Cites Work

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• Probability density decomposition for conditionally dependent random variables modeled by vines
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• Worst-case robust Omega ratio
• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Extended omega ratio optimization for risk‐averse investors
• Programming with linear fractional functionals
• Analysis of Financial Time Series

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