Portfolio allocation using omega function: an empirical analysis

DOI10.1007/978-3-319-02499-8_17MaRDI QIDQ4561913zbMATH OpenOpenAlexFDO

Authors 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 levelhedge fundhigh momentportfolio selectionSharpe ratio

Mathematics Subject Classification ID

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

Recommendations

• Extended omega ratio optimization for risk-averse investors
• Optimal strategies under omega ratio
• Optimizing Omega
• Worst-case robust Omega ratio
• Distributed optimisation of a portfolio's omega

Cites work

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

Cited in

(4)

• Portfolio performance measurement using differential evolution
• Extended omega ratio optimization for risk-averse investors
• An omega portfolio model with dynamic return thresholds
• Distributed optimisation of a portfolio's omega

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