Risk management under Omega measure
Year of publication: |
2017
|
---|---|
Authors: | Metel, Michael R. ; Pirvu, Traian A. ; Wong, Julian |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 5.2017, 2, p. 1-14
|
Publisher: |
Basel : MDPI |
Subject: | risk management | portfolio optimization | Omega measure | Sharpe ratio | active-set algorithm | non-convex optimization |
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