Extended omega ratio optimization for risk‐averse investors

DOI10.1111/itor.12184zbMath1367.91202OpenAlexW1769769855MaRDI QIDQ5278224

Aparna Mehra, Amita Sharma

Publication date: 13 July 2017

Published in: International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/itor.12184

zbMATH Keywords

mean-risk modelsconditional value at riskminimax valuein-sample and out-of-sample analysisomega ratio optimizationsemi-mean absolute deviation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items (9)

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