Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167922
Authors: 
Metel, Michael R.
Pirvu, Traian A.
Wong, Julian
Year of Publication: 
2017
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 5 [Year:] 2017 [Issue:] 2 [Pages:] 1-14
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.
Subjects: 
risk management
portfolio optimization
Omega measure
Sharpe ratio
active-set algorithm
non-convex optimization
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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