Maximizing the omega ratio by two linear programming problems

DOI10.1007/s10559-013-9557-5zbMath1306.90091OpenAlexW2081002916MaRDI QIDQ465986

V. S. Kirilyuk

Publication date: 24 October 2014

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-013-9557-5

zbMATH Keywords

linear programmingperformance measureportfolio optimizationOmega ratio

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10)

Related Items (2)

Extended omega ratio optimization for risk‐averse investors ⋮ Omega-CVaR portfolio optimization and its worst case analysis

Cites Work

• Optimizing Omega
• Worst-case robust Omega ratio
• Safety-first portfolio selection

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