Next Article in Journal
Asymptotic Estimates for the One-Year Ruin Probability under Risky Investments
Next Article in Special Issue
Actuarial Geometry
Previous Article in Journal / Special Issue
Bond and CDS Pricing via the Stochastic Recovery Black-Cox Model
Article Menu
Issue 2 (June) cover image

Export Article

Open AccessFeature PaperArticle
Risks 2017, 5(2), 27; doi:10.3390/risks5020027

Risk Management under Omega Measure

1
Laboratoire de Recherche en Informatique, Université Paris-Sud, 91405 Orsay, France
2
Department of Mathematics and Statistics, McMaster University, 1280 Main Street West, Hamilton, ON L8S 4K1, Canada
*
Author to whom correspondence should be addressed.
Academic Editor: Annamaria Olivieri
Received: 10 January 2017 / Revised: 7 April 2017 / Accepted: 27 April 2017 / Published: 6 May 2017
View Full-Text   |   Download PDF [351 KB, uploaded 12 May 2017]   |  

Abstract

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. When asymmetric returns are considered, we show that the Omega measure and Sharpe ratio lead to different optimal portfolios. View Full-Text
Keywords: risk management; portfolio optimization; Omega measure; Sharpe ratio; active-set algorithm; non-convex optimization risk management; portfolio optimization; Omega measure; Sharpe ratio; active-set algorithm; non-convex optimization
Figures

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

Metel, M.R.; A. Pirvu, T.; Wong, J. Risk Management under Omega Measure. Risks 2017, 5, 27.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Risks EISSN 2227-9091 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top