OPTIMIZATION OF THE SHARPE RATIO AND THE OMEGA IN MUTUAL FUNDS PORTFOLIO

被引：0
|
作者：
Milanova, Zdenka [1 ]
机构：
[1] Comenius Univ, Inst Econ, Fac Social & Econ Sci, Bratislava 82005 25, Slovakia
来源：
PROCEEDINGS OF THE INTERNATIONAL CONFERENCE QUANTITATIVE METHODS IN ECONOMICS (MULTIPLE CRITERIA DECISION MAKING XIV) | 2008年
关键词：
Sharpe ratio; Omega function;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The violation of the assumption of normal distributed returns of assets leads to searching for new measures of performance, which allow taking into consideration another characteristic then first and second moments. In this paper is compared performance of two portfolios. The first one is generated by maximization of Sharpe ratio and the second one by maximization of Omega function. The portfolio consists of six mutual funds that are traded on Slovak financial market.
引用
收藏
页码：187 / 194
页数：8
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