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 26 May 2026 04:55

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