Optimal strategies under Omega ratio-Reference-Cited by-同舟云学术

Optimal strategies under Omega ratio

Published:2019-06 Issue:2 Volume:275 Page:755-767
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Bernard Carole^ORCID,Vanduffel Steven^ORCID,Ye Jiang

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modelling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference48 articles.

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4. Avouyi-Dovi, S., Morin, S., & Neto, D. (2004). Optimal asset allocation with Omega function. Technical paper Banque de France.

5. Risk management with expectiles;Bellini;European Journal of Finance,2017

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