Structured portfolio analysis under SharpeOmega ratio
This paper deals with performance measurement of financial struc- tured products. For this purpose, we introduce the SharpeOmega ratio, based on put as downside risk measure. This allows to take account of the asymmetry of the return probability distribution. We provide gen- eral results about the optimization of some standard structured portfolios with respect to the SharpeOmega ratio. We determine in particular the optimal combination of risk free, stock and calljput instruments with re- spect to this performance measure. We show that, contrary to Sharpe ratio maximization (Goetzmann et al., 2002), the payoff of the optimal structured portfolio is not necessarily increasing and concave. We also discuss about the interest of the asset management industry to reward high Sharpe Omega ratios.
Year of publication: |
2014-07-15
|
---|---|
Authors: | Hentati-KAFFEL, Rania ; Prigent, Jean-Luc |
Institutions: | Institut de Préparation à l'Administration et à la Gestion (IPAG) |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs
MKAOUAR, Farid, (2014)
-
Mkouar, Farid, (2014)
-
Optimal Portfolio Positioning within Generalized Johnson Distributions
Naguez, Naceur, (2014)
- More ...