Optimizing Omega
Kane, S.J., Bartholomew-Biggs, M., Cross, M. and Dewar, M.
(2009)
Optimizing Omega.
pp. 153-167.
ISSN 0925-5001
This paper considers the Omega function, proposed by Cascon, Keating & Shadwick as a performance measure for comparing financial assets. We discuss the use of Omega as a basis for portfolio selection. We show that the problem of choosing portfolio weights in order to maximize Omega typically has many local solutions and we describe some preliminary computational experience of finding the global optimum using a NAG library implementation of the Huyer & Neumaier MCS method.
Item Type | Article |
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Uncontrolled Keywords | portfolio selection; Omega function; MCS method |
Date Deposited | 14 Nov 2024 11:13 |
Last Modified | 14 Nov 2024 11:13 |
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