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        Optimizing Omega

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        102789.pdf (PDF, 229Kb)
        Author
        Kane, S.J.
        Bartholomew-Biggs, M.
        Cross, M.
        Dewar, M.
        Attention
        2299/3780
        Abstract
        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.
        Publication date
        2009
        Published in
        Journal of Global Optimization
        Published version
        https://doi.org/10.1007/s10898-008-9396-5
        Other links
        http://hdl.handle.net/2299/3780
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