Optimizing Omega
نویسندگان
چکیده
منابع مشابه
Optimizing Omega
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 separa...
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ژورنال
عنوان ژورنال: Journal of Global Optimization
سال: 2009
ISSN: 0925-5001,1573-2916
DOI: 10.1007/s10898-008-9396-5