Is the omega ratio a good portfolio optimization criterion?

<div class="page" title="Page 1"><div class="section"><div class="layoutArea"><div class="column"><p class="Cuerpo">The Omega ratio has been widely used in the literature to optimize and search for good performance investment portfolios. It considers both downside upside potential of portfolio with respect a predetermined threshold, which can be fixed or time varying. Mixed results have obtained different markets periods. And when combined other risk measures, its improved. The proposed model restricts omega value less than 470, maximum each asset 15%, target annual return equal Dow Jones Industrial Average (DJIA) among assets that make up index. In study period (2000-2020, rolling window per day) there is 64% probability outperforming DJIA an appraisal 2.36, higher models (Upside potential, Downside semi-variance unconstrained Omega).</p></div></div></div></div>