Optimizing Omega

Kane, S.J., Bartholomew-Biggs, M., Cross, M. and Dewar, M. (2009) Optimizing Omega. Journal of Global Optimization, 45 (1). pp. 153-167. ISSN 0925-5001

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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
Identification Number	10.1007/s10898-008-9396-5
Additional information	"The original publication is available at www.springerlink.com " Copyright Springer. DOI: 10.1007/s10898-008-9396-5
Keywords	portfolio selection, omega function, mcs method
Date Deposited	15 May 2025 12:00
Last Modified	25 Feb 2026 00:22