Worst-case robust Omega ratio
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Publication:2514722
DOI10.1016/J.EJOR.2013.04.025zbMATH Open1304.91198OpenAlexW2075748568MaRDI QIDQ2514722FDOQ2514722
Authors: Michalis Kapsos, Nicos Christofides, Berç Rustem 
Publication date: 3 February 2015
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2013.04.025
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Cites Work
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- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Dual Stochastic Dominance and Related Mean-Risk Models
- Applications of second-order cone programming
- Robust convex optimization
- Worst-case conditional value-at-risk with application to robust portfolio management
- Robust asset allocation
- On the Behaviour of Commodity Prices
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- Optimizing Omega
- Dual Stochastic Dominance and Quantile Risk Measures
Cited In (33)
- Worst-case analysis of Gini mean difference safety measure
- Optimal management of DC pension fund under the relative performance ratio and VaR constraint
- Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
- List's worst-average-case or WAC ratio
- The best gain-loss ratio is a poor performance measure
- Robust risk budgeting
- Robust optimization of mixed CVaR STARR ratio using copulas
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion
- Portfolio allocation using omega function: an empirical analysis
- Modifications of the Omega ratio for decision making under uncertainty
- Optimal strategies under omega ratio
- Extended omega ratio optimization for risk-averse investors
- Omega-CVaR portfolio optimization and its worst case analysis
- Robust optimization approaches for portfolio selection: a comparative analysis
- Scenario aggregation method for portfolio expectile optimization
- Quantitative portfolio selection: using density forecasting to find consistent portfolios
- An omega portfolio model with dynamic return thresholds
- Robust omega ratio optimization using regular vines
- Linear programming models based on omega ratio for the enhanced index tracking problem
- An investigation of model risk in a market with jumps and stochastic volatility
- Maximizing the omega ratio by two linear programming problems
- Distributionally robust reward-risk ratio programming with Wasserstein metric
- Interval estimation for the Sortino ratio and the Omega ratio
- Data-Driven Optimization of Reward-Risk Ratio Measures
- Distributed optimisation of a portfolio's omega
- Smart network based portfolios
- Robust reward–risk ratio portfolio optimization
- Distributionally robust portfolio optimization with linearized STARR performance measure
- On the maximization of financial performance measures within mixture models
- Omega ratio optimization with actuarial and financial applications
- Distributionally robust equilibrium for continuous games: Nash and Stackelberg models
- Frameworks and results in distributionally robust optimization
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