University of Hertfordshire

From the same journal

By the same authors

Optimizing Omega

Research output: Contribution to journalArticle

Documents

  • S.J. Kane
  • M. Bartholomew-Biggs
  • M. Cross
  • M. Dewar
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Original languageEnglish
Pages (from-to)153-167
JournalJournal of Global Optimization
Journal publication date2009
Volume45
Issue1
DOIs
Publication statusPublished - 2009

Abstract

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.

Notes

"The original publication is available at www.springerlink.com " Copyright Springer. DOI: 10.1007/s10898-008-9396-5

ID: 172558