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oaioai:uhra.herts.ac.uk:2299/3780

Optimizing Omega

Authors
Publication date
1 January 2009
Publisher
'Springer Science and Business Media LLC'
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    Abstract

    "The original publication is available at www.springerlink.com " Copyright Springer. DOI: 10.1007/s10898-008-9396-5This paper considers the Omega function, proposed by Cascon, Keating & Shadwick as a performance measure for comparing financial assets. We discuss the use of Omega as a basis for portfolio selection. We show that the problem of choosing portfolio weights in order to maximize Omega typically has many local solutions and we describe some preliminary computational experience of finding the global optimum using a NAG library implementation of the Huyer & Neumaier MCS method.Peer reviewe

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    University of Hertfordshire Research Archive

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    Last time updated on 12/04/2012

    This paper was published in University of Hertfordshire Research Archive.

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