Optimizing Omega

Journal of Global Optimization

Volumn 45, Issue 1, 2009, Pages 153-167

  Kane, S J ^a   Bartholomew Biggs, M C ^a   Cross, M ^b   Dewar, M ^b  

^a UNIVERSITY OF HERTFORDSHIRE   (United Kingdom)

^b Numerical Algorithms Group   (United Kingdom)

Author keywords

MCS method; Omega function; Portfolio selection

Indexed keywords

FINANCIAL ASSETS; GLOBAL OPTIMUM; LOCAL SOLUTION; MCS METHOD; OMEGA FUNCTION; PERFORMANCE MEASURE; PORTFOLIO SELECTION;

EID: 68549140372     PISSN: 09255001     EISSN: 15732916     Source Type: Journal    
DOI: 10.1007/s10898-008-9396-5     Document Type: Article

References (17)

1. Avouyi-Dovi, S., Morin, S., Neto, D.: Optimal Asset Allocation with Omega Function. Technical Report, Banque de France (2004)
2. Avouyi-Dovi, S., Morin, S., Neto, D.: Optimal Asset Allocation with Omega Function. EBC Presentation, Zurich, October 2004. http://www.effas.ebc.org/EBC
3. Bartholomew-Biggs M.: Nonlinear Optimization with Financial Applications. Kluwer, Dordrecht (2005)
4. M. Bartholomew-Biggs S. Parkhurst S. Wilson 2003 Global otimization approaches to an aircraft routing problem Eur. J. Oper. Res. 146 2 417 431
5. Cascon A., Keating C., Shadwick W.: The Mathematics of the Omega Measure. The Finance Development Centre, London (2002)
6. Favre-Bulle, A., Pache, S.: The Omega Measure: Hedge Fund Portfolio Optimization. MBF Master's Thesis, University of Lausanne-Ecole des HEC (2003)
7. Gilli, M., Schumann, E.: Distributed Optimization of a Portfolio's Omega, Swiss Finance Institute Research Paper 08-17 (2008). http://ssrn.com/abstract= 1156355
8. Gilli, M., Kellezi, E., Hysi, H.: A data-driven optimization heuristic for downside risk minimization. J. Risk 8(3), 1-19 (2006). http://ssrn.com/ abstract=900365
9. W. Huyer A. Neumaier 1999 MCS global optimization by multilevel coordinate search J. Glob. Optim. 14 331 355
10. D.R. Jones C.D. Perttunen B.E. Stuckman 1993 Lipschitzian Optimization without the Lipschitz Constant J. Opt. Theory Appl. 79 157 181
11. Keating, C., Shadwick, W.: An Introduction to Omega. AIMA Newsletter, April 2002
12. Markowitz, H.M.: Portfolio Selection: Efficient Diversification of Investments, 2nd edn. Wiley, New York (1959), Blackwell, Oxford (1991)
13. The Mathworks Inc. http://www.mathworks.com
14. Mausser, H., Saunders, D., Seco, L.: Optimizing Omega. Risk, November 2006, pp. 88-92. http://www.algorithmics.com/EN/media/pdfs/OptimizingOmega1106. pdf
15. J.A. Nelder R. Mead 1965 A simplex method for function minimization Comput. J. 7 308 313
16. The Numerical Algorithms Group-Private Communication
17. The Numerical Algorithms Group. http://www.nag.co.uk