| dc.contributor.author | Kane, S.J. | |
| dc.contributor.author | Bartholomew-Biggs, M. | |
| dc.contributor.author | Cross, M. | |
| dc.contributor.author | Dewar, M. | |
| dc.date.accessioned | 2009-08-13T13:17:18Z | |
| dc.date.available | 2009-08-13T13:17:18Z | |
| dc.date.issued | 2009 | |
| dc.identifier.citation | Kane , S J , Bartholomew-Biggs , M , Cross , M & Dewar , M 2009 , ' Optimizing Omega ' , Journal of Global Optimization , vol. 45 , no. 1 , pp. 153-167 . https://doi.org/10.1007/s10898-008-9396-5 | |
| dc.identifier.issn | 0925-5001 | |
| dc.identifier.other | dspace: 2299/3780 | |
| dc.identifier.uri | http://hdl.handle.net/2299/3780 | |
| dc.description | "The original publication is available at www.springerlink.com " Copyright Springer. DOI: 10.1007/s10898-008-9396-5 | |
| dc.description.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. | en |
| dc.format.extent | 234542 | |
| dc.language.iso | eng | |
| dc.relation.ispartof | Journal of Global Optimization | |
| dc.subject | portfolio selection | |
| dc.subject | Omega function | |
| dc.subject | MCS method | |
| dc.title | Optimizing Omega | en |
| dc.contributor.institution | School of Physics, Astronomy and Mathematics | |
| dc.contributor.institution | Science & Technology Research Institute | |
| dc.description.status | Peer reviewed | |
| rioxxterms.versionofrecord | 10.1007/s10898-008-9396-5 | |
| rioxxterms.type | Journal Article/Review | |
| herts.preservation.rarelyaccessed | true | |
