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dc.contributor.authorKane, S.J.
dc.contributor.authorBartholomew-Biggs, M.
dc.contributor.authorCross, M.
dc.contributor.authorDewar, M.
dc.date.accessioned2009-08-13T13:17:18Z
dc.date.available2009-08-13T13:17:18Z
dc.date.issued2009
dc.identifier.citationKane , 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.issn0925-5001
dc.identifier.otherPURE: 172558
dc.identifier.otherPURE UUID: cf3acafc-35c4-4cd7-8ede-6574583eb26c
dc.identifier.otherdspace: 2299/3780
dc.identifier.otherScopus: 68549140372
dc.identifier.urihttp://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.abstractThis 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.language.isoeng
dc.relation.ispartofJournal of Global Optimization
dc.rights/dk/atira/pure/core/openaccesspermission/open
dc.subjectportfolio selection
dc.subjectOmega function
dc.subjectMCS method
dc.titleOptimizing Omegaen
dc.contributor.institutionSchool of Physics, Astronomy and Mathematics
dc.description.statusPeer reviewed
dc.relation.schoolSchool of Physics, Astronomy and Mathematics
rioxxterms.versionofrecordhttps://doi.org/10.1007/s10898-008-9396-5
rioxxterms.typeJournal Article/Review
herts.preservation.rarelyaccessedtrue
herts.rights.accesstyperestrictedAccess


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