An empirical investigation on Omega optimised stock portfolio
This paper considers portfolio optimisation with respect to the Omega function, proposed by Keating & Shadwick, and investigates its empirical performance compared with the traditional approaches for portfolio optimisation. The results were inline with expectations: omegaoptimi...
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2014-03-01
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| Series: | Business: Theory and Practice |
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| Online Access: | https://journals.vgtu.lt/index.php/BTP/article/view/8406 |