Characteristics of Omega-optimized portfolios at different levels of threshold returns
There is little literature considering effects that the loss-gain threshold used for dividing good and bad outcomes by all downside (upside) risk measures has on portfolio optimization and performance. The purpose of this study is to assess the performance of portfolios optimized with respect to the...
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2014-12-01
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| Series: | Business, Management and Education |
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| Online Access: | http://journals.vgtu.lt/index.php/BME/article/view/3517 |