Worst-case analysis of Omega-VaR ratio optimization model
Ruchika Sehgal, Amita Sharma, Renata Mansini
| Year of publication: |
2023
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|---|---|
| Authors: | Sehgal, Ruchika ; Sharma, Amita ; Mansini, Renata |
| Published in: |
Omega : the international journal of management science. - Oxford [u.a.] : Elsevier, ISSN 0305-0483, ZDB-ID 124502-8. - Vol. 114.2023, p. 1-20
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| Subject: | Robust portfolio optimization | Omega ratio | Worst-case value-at-risk | Worst-case conditional value-at-risk | Uncertainty setIn-sample and out-of-sample analysis | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risiko | Risk | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.omega.2022.102730 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013441559