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Cybernetics And Systems Analysis
International Theoretical Science Journal
UDC 519.21
Kirilyuk V.S.

MAXIMIZING THE OMEGA RATIO USING TWO LINEAR PROGRAMMING PROBLEMS

Abstract. It is shown how the portfolio omega ratio can be maximized using two linear programming problems. An algorithm of searching for a solution consists of checking some condition and solving one of these problems depending on a condition. An example of calculations is given.

Keywords: Omega ratio, performance measure, portfolio optimization, linear programming.



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Кирилюк Владимир Семенович ,
доктор физ.-мат. наук, ведущий научный сотрудник Института кибернетики им. В.М. Глушкова НАН Украины, Киев,
e-mail: kokriatskaia@ ramler.ru.

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