Optimizing Omega

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...

Full description

Saved in:
Bibliographic Details
Published inJournal of global optimization Vol. 45; no. 1; pp. 153 - 167
Main Authors Kane, S. J., Bartholomew-Biggs, M. C., Cross, M., Dewar, M.
Format Journal Article
LanguageEnglish
Published Boston Springer US 01.09.2009
Springer Nature B.V
Subjects
Computer Science
Mathematics
Mathematics and Statistics
Operations Research/Decision Theory
Optimization
Portfolio management
Real Functions
Studies
Omega function
MCS method
Portfolio selection
Online AccessGet full text

Cover

More Information
Summary: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.
ISSN:0925-5001
1573-2916
DOI:10.1007/s10898-008-9396-5