no code implementations • 15 Oct 2019 • Eric Benhamou, Beatrice Guez, Nicolas Paris1
We compute Omega ratio for the normal distribution and show that under some distribution symmetry assumptions, the Omega ratio is oversold as it does not provide any additional information compared to Sharpe ratio.
no code implementations • 2 Apr 2019 • Eric Benhamou, David Saltiel, Beatrice Guez, Nicolas Paris
We prove that the expected covariance should be lower in the normal Wishart prior model because of the convexity of the inverse.
