Portfolio Allocation Using Omega Function: An Empirical Analysis

DOI10.1007/978-3-319-02499-8_17zbMath1418.91477OpenAlexW47419651MaRDI QIDQ4561913

Asmerilda Hitaj, Francesco Martinelli, G. M. Zambruno

Publication date: 13 December 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02499-8_17

zbMATH Keywords

aspiration levelSharpe ratioportfolio selectionhedge fundhigh moment

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Optimizing Omega
• Financial modeling under non-Gaussian distributions.
• Sharpe thinking in asset ranking with one-sided measures

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