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Worst-case robust Omega ratio

Citations

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Cited by:

  1. Penev, Spiridon & Shevchenko, Pavel V. & Wu, Wei, 2019. "The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion," European Journal of Operational Research, Elsevier, vol. 273(2), pages 772-784.
  2. Caporin, Massimiliano & Costola, Michele & Jannin, Gregory & Maillet, Bertrand, 2018. "“On the (Ab)use of Omega?”," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 11-33.
  3. Dimitris Andriosopoulos & Michalis Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1581-1599, October.
  4. Spiridon Penev & Pavel V. Shevchenko & Wei Wu, 2021. "The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion," Papers 2108.02633, arXiv.org.
  5. Hoang, Thi-Hong-Van & Wong, Wing-Keung & Zhu, Zhenzhen, 2015. "Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange," Economic Modelling, Elsevier, vol. 50(C), pages 200-211.
  6. Yuze Li & Shangrong Jiang & Yunjie Wei & Shouyang Wang, 2021. "Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-26, December.
  7. Ran Ji & Miguel A. Lejeune, 2021. "Data-Driven Optimization of Reward-Risk Ratio Measures," INFORMS Journal on Computing, INFORMS, vol. 33(3), pages 1120-1137, July.
  8. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2022. "Smart network based portfolios," Annals of Operations Research, Springer, vol. 316(2), pages 1519-1541, September.
  9. Liu, Yongchao & Xu, Huifu & Yang, Shu-Jung Sunny & Zhang, Jin, 2018. "Distributionally robust equilibrium for continuous games: Nash and Stackelberg models," European Journal of Operational Research, Elsevier, vol. 265(2), pages 631-643.
  10. Guohui Guan & Lin He & Zongxia Liang & Litian Zhang, 2024. "Optimal VPPI strategy under Omega ratio with stochastic benchmark," Papers 2403.13388, arXiv.org.
  11. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
  12. Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.
  13. Sally G. Arcidiacono & Damiano Rossello, 2022. "A hybrid approach to the discrepancy in financial performance’s robustness," Operational Research, Springer, vol. 22(5), pages 5441-5476, November.
  14. Sandra Cruz Caçador & Pedro Manuel Cortesão Godinho & Joana Maria Pina Cabral Matos Dias, 2022. "A minimax regret portfolio model based on the investor’s utility loss," Operational Research, Springer, vol. 22(1), pages 449-484, March.
  15. Meade, N. & Beasley, J.E. & Adcock, C.J., 2021. "Quantitative portfolio selection: Using density forecasting to find consistent portfolios," European Journal of Operational Research, Elsevier, vol. 288(3), pages 1053-1067.
  16. Ma, Yilin & Wang, Yudong & Wang, Weizhong & Zhang, Chong, 2023. "Portfolios with return and volatility prediction for the energy stock market," Energy, Elsevier, vol. 270(C).
  17. Coqueret, Guillaume & Tavin, Bertrand, 2016. "An investigation of model risk in a market with jumps and stochastic volatility," European Journal of Operational Research, Elsevier, vol. 253(3), pages 648-658.
  18. Guastaroba, G. & Mansini, R. & Ogryczak, W. & Speranza, M.G., 2016. "Linear programming models based on Omega ratio for the Enhanced Index Tracking Problem," European Journal of Operational Research, Elsevier, vol. 251(3), pages 938-956.
  19. A. Georgantas, 2020. "Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis," Papers 2010.13397, arXiv.org.
  20. Fernandes, Gláucia & Gomes, Leonardo & Vasconcelos, Gabriel & Brandão, Luiz, 2016. "Mitigating wind exposure with zero-cost collar insurance," Renewable Energy, Elsevier, vol. 99(C), pages 336-346.
  21. Yu, Jing-Rung & Paul Chiou, Wan-Jiun & Lee, Wen-Yi & Lin, Shun-Ji, 2020. "Portfolio models with return forecasting and transaction costs," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 118-130.
  22. Xu Guo & Xuejun Jiang & Wing-Keung Wong, 2017. "Stochastic Dominance and Omega Ratio: Measures to Examine Market Efficiency, Arbitrage Opportunity, and Anomaly," Economies, MDPI, vol. 5(4), pages 1-16, October.
  23. Frank Schuhmacher & Hendrik Kohrs & Benjamin R. Auer, 2021. "Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed," Management Science, INFORMS, vol. 67(12), pages 7812-7824, December.
  24. Guan, Guohui & Liang, Zongxia & Xia, Yi, 2023. "Optimal management of DC pension fund under the relative performance ratio and VaR constraint," European Journal of Operational Research, Elsevier, vol. 305(2), pages 868-886.
  25. Aquila, Giancarlo & Nakamura, Wilson Toshiro & Junior, Paulo Rotella & Souza Rocha, Luiz Celio & de Oliveira Pamplona, Edson, 2021. "Perspectives under uncertainties and risk in wind farms investments based on Omega-LCOE approach: An analysis in São Paulo state, Brazil," Renewable and Sustainable Energy Reviews, Elsevier, vol. 141(C).
  26. Michalis Kapsos & Nicos Christofides & Berc Rustem, 2018. "Robust risk budgeting," Annals of Operations Research, Springer, vol. 266(1), pages 199-221, July.
  27. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
  28. Yu, Jing-Rung & Paul Chiou, Wan-Jiun & Hsin, Yi-Ting & Sheu, Her-Jiun, 2022. "Omega portfolio models with floating return threshold," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 743-758.
  29. Amita Sharma & Sebastian Utz & Aparna Mehra, 2017. "Omega-CVaR portfolio optimization and its worst case analysis," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 39(2), pages 505-539, March.
  30. Yu, Jing-Rung & Chiou, W. Paul & Hung, Cing-Hung & Dong, Wen-Kuei & Chang, Yi-Hsuan, 2022. "Dynamic rebalancing portfolio models with analyses of investor sentiment," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 1-13.
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