2015/10/20 by Michael R. Metel, Metel, Michael R., Traian A. Pirvu +3
Decision Sciences · Economics, Econometrics and Finance · #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Risk and Portfolio Optimization #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1510.05790
openalex publication_date 2015/10/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented for markets prohibiting short sales. When asymmetric returns are considered we show that the Omega measure and Sharpe ratio lead to different optimal portfolios.