Investment management - Optimising omega - Optimising a portfolio's omega generally requires non-linear optimisation methods. The authors show that, under suitable conditions, a simple change of variables transforms the problem into a linear program that is much more readily solved.
| Year of publication: |
2006
|
|---|---|
| Authors: | Mausser, Helmut ; Saunders, David ; Seco, Luis |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 19.2006, 11, p. 88-94
|