Risk Management under Omega Measure
AbstractWe 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
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Metel, M.R.; A. Pirvu, T.; Wong, J. Risk Management under Omega Measure. Risks 2017, 5, 27.
Metel MR, A. Pirvu T, Wong J. Risk Management under Omega Measure. Risks. 2017; 5(2):27.Chicago/Turabian Style
Metel, Michael R.; A. Pirvu, Traian; Wong, Julian. 2017. "Risk Management under Omega Measure." Risks 5, no. 2: 27.
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