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Omega-CVaR Portfolio Optimization and Its Worst Case Analysis

Sharma, Amita ; Utz, Sebastian ; Mehra, Aparna



Abstract

This paper presents a novel framework for optimizing portfolios using distribution dependent thresholds in Omega ratio to control the downside risk. Portfolios resulting from the maximization of the classical Omega ratio simultaneously maximize the probability of superior performance compared to a threshold point set by an investor and minimize the probability of a worse performance compared to ...

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