Optimizing Omega

DOI10.1007/s10898-008-9396-5zbMath1180.90247OpenAlexW2912302961MaRDI QIDQ842716

N. E. Zubov

Publication date: 25 September 2009

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2299/3780

zbMATH Keywords

portfolio selectionMCS methodOmega function

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Portfolio theory (91G10)

Related Items

Extended omega ratio optimization for risk‐averse investors ⋮ Bilevel derivative-free optimization and its application to robust optimization ⋮ Omega-CVaR portfolio optimization and its worst case analysis ⋮ Linear programming models based on omega ratio for the enhanced index tracking problem ⋮ Portfolio Allocation Using Omega Function: An Empirical Analysis ⋮ An omega portfolio model with dynamic return thresholds ⋮ Analysis of direct searches for discontinuous functions ⋮ Optimal strategies under omega ratio ⋮ Maximizing the omega ratio by two linear programming problems ⋮ Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models ⋮ Distributed optimisation of a portfolio's omega ⋮ Worst-case robust Omega ratio ⋮ PORTFOLIO OPTIMIZATION WITH PERFORMANCE RATIOS ⋮ Optimal management of DC pension fund under the relative performance ratio and VaR constraint

Uses Software

• NAG
• MCS

Cites Work

• Unnamed Item
• Global optimization by multilevel coordinate search
• Lipschitzian optimization without the Lipschitz constant
• Global optimization approaches to an aircraft routing problem
• A Simplex Method for Function Minimization

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