Omega-CVaR portfolio optimization and its worst case analysis

DOI10.1007/s00291-016-0462-yzbMath1367.91203OpenAlexW2341705921MaRDI QIDQ2362174

Amita Sharma, Aparna Mehra, Sebastian Utz

Publication date: 6 July 2017

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-016-0462-y

zbMATH Keywords

value-at-riskconditional value-at-riskasset allocationrobust portfolio optimizationomega ratio optimization

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Linear programming (90C05) Portfolio theory (91G10)

Related Items

Robust portfolio optimization: a categorized bibliographic review, Enhanced index tracking with CVaR-based ratio measures, Robust optimization of mixed CVaR STARR ratio using copulas, Comparison of \(L_p\)-quantiles and related skewness measures, An omega portfolio model with dynamic return thresholds, Robust reward–risk ratio portfolio optimization, Worst-case analysis of Gini mean difference safety measure, Index tracking and enhanced indexing using mixed conditional value-at-risk, Omega ratio optimization with actuarial and financial applications, Robust omega ratio optimization using regular vines, Optimal management of DC pension fund under the relative performance ratio and VaR constraint

Uses Software

• Tabu search
• MCS

Cites Work

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