Kapsos, Michalis; Christofides, Nicos; Rustem, Berç - In: European Journal of Operational Research 234 (2014) 2, pp. 499-507
recently, the Omega ratio was thought to be computationally intractable, and research was focused on heuristic optimization … procedures. We have shown elsewhere that the Omega ratio optimization is equivalent to a linear program and hence can be solved … examine the worst-case Omega ratio optimization problem under three types of uncertainty – mixture distribution, box and …