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

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
Risks 2017, 5(2), 27; https://doi.org/10.3390/risks5020027
Received: 10 January 2017 / Revised: 7 April 2017 / Accepted: 27 April 2017 / Published: 6 May 2017
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
Show Figures

Figure 1

MDPI and ACS Style

Metel, M.R.; A. Pirvu, T.; Wong, J. Risk Management under Omega Measure. Risks 2017, 5, 27. https://doi.org/10.3390/risks5020027

AMA Style

Metel MR, A. Pirvu T, Wong J. Risk Management under Omega Measure. Risks. 2017; 5(2):27. https://doi.org/10.3390/risks5020027

Chicago/Turabian Style

Metel, Michael R., Traian A. Pirvu, and Julian Wong. 2017. "Risk Management under Omega Measure" Risks 5, no. 2: 27. https://doi.org/10.3390/risks5020027

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

Article Access Map by Country/Region

1
Back to TopTop