Risk management under Omega measure

20 Oct 2015 Michael R. Metel Traian A. Pirvu Julian Wong

We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented for markets prohibiting short sales... (read more)

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