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Risk management under Omega measure
Preprint

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 MR; Pirvu TA; Wong J

Publication date

October 20, 2015

DOI

10.48550/arxiv.1510.05790

Preprint server

arXiv
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