Optimizing Omega
نویسندگان
چکیده
Performance measurement that accurately reflects the goals of fund investors and managers has long been a topic of active discussion. Most modern performance measures differ from classical ones (such as the Sharpe ratio) in two key ways; first, they reflect the market practice of assessing performance against a benchmark, second, they account for the asymmetry in returns distributions by separately considering upside and downside. The Omega is a recent measure introduced by Shadwick and Keating [2002] possessing both of these characteristics. It is defined, for an asset with return R (a random variable) and benchmark return L as:
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