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