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Risk Management under Omega Measure
Journal article

Risk Management under Omega Measure

Abstract

We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented for markets prohibiting short sales. When asymmetric returns are considered, we show that the Omega measure and Sharpe ratio lead to different optimal portfolios.

Authors

Metel M; A. Pirvu T; Wong J

Journal

Risks, Vol. 5, No. 2,

Publisher

MDPI

Publication Date

June 1, 2017

DOI

10.3390/risks5020027

ISSN

2227-9091

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