Optimal strategies under Omega ratio
Year of publication: |
2019
|
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Authors: | Bernard, Carole ; Vanduffel, Steven ; Ye, Jiang |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 275.2019, 2 (1.6.), p. 755-767
|
Subject: | Investment analysis | Optimal portfolio choice | Omega ratio | Ill-posedness | Performance measurement | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Betriebliche Kennzahl | Financial ratio | Performance-Messung | Finanzanalyse | Financial analysis | Kapitaleinkommen | Capital income |
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