An omega portfolio model with dynamic return thresholds

DOI10.1111/ITOR.13153OpenAlexW4293238656MaRDI QIDQ6079993FDOQ6079993

Authors: Jing-Rung Yu, Wan-Jiun Paul Chiou, Wen-Yi Lee 

Publication date: 29 September 2023

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

Full work available at URL: https://doi.org/10.1111/itor.13153

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zbMATH Keywords

portfolio selectiontransaction costsomega ratiooptimal threshold

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• Asset allocation with correlation: a composite trade-off
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Dual Stochastic Dominance and Related Mean-Risk Models
• Measures of risk
• Worst-case conditional value-at-risk with application to robust portfolio management
• Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
• Worst-case robust Omega ratio
• Multi‐asset portfolio optimization with transaction cost
• Omega ratio optimization with actuarial and financial applications
• Linear programming models based on omega ratio for the enhanced index tracking problem
• Optimizing Omega
• Dual Stochastic Dominance and Quantile Risk Measures
• The best gain-loss ratio is a poor performance measure
• Optimal construction and rebalancing of index-tracking portfolios
• Minimizing the tracking error of cardinality constrained portfolios
• Omega-CVaR portfolio optimization and its worst case analysis
• Optimal strategies under omega ratio
• Multiperiod portfolio investment using stochastic programming with conditional value at risk
• Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
• Extended omega ratio optimization for risk-averse investors
• Non-separation in the mean -- lower-partial-moment portfolio optimization problem
• Robust reward–risk ratio portfolio optimization

Cited In (1)

• Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure

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