Search Results - subject:"Omega ratio"

Navigating market volatility : risk and return insights from Indian mutual funds

Malhotra, Davinder Kumar; Singh, Rahul; Ramani, L. - In: Cogent economics & finance 12 (2024) 1, pp. 1-21

This study evaluates Indian mutual funds using a variety of criteria, demonstrating a historical tendency of lower monthly returns and volatility when compared to benchmark indexes. This positive risk profile implies that it will appeal to investors who want stability. Despite COVID-19-induced...

Persistent link: https://www.econbiz.de/10015192483

Comparative risk aversion vs. threshold choice in the Omega ratio

Balter, Anne; Chau, Ki Wai; Schweizer, Nikolaus - 2023

Persistent link: https://www.econbiz.de/10014448116

An Omega portfolio model with dynamic return thresholds

Yu, Jing-Rung; Chiou, Wan-jiun Paul; Lee, Wen-Yi - In: International transactions in operational research : a … 30 (2023) 5, pp. 2528-2545

Persistent link: https://www.econbiz.de/10014259294

Stochastic dominance and Omega ratio: Measures to examine market efficiency, arbitrage opportunity, and anomaly

Guo, Xu; Jiang, Xuejun; Wong, Wing-Keung - In: Economies 5 (2017) 4, pp. 1-16

relationship between stochastic dominance and the Omega ratio. We find that second-order stochastic dominance (SD) and/or second …-order risk-seeking SD (RSD) alone for any two prospects is not sufficient to imply Omega ratio dominance insofar that the Omega …. Nonetheless, first-order SD does imply Omega ratio dominance. Thereafter, we apply the theory developed in this paper to examine …

Persistent link: https://www.econbiz.de/10012009791

Stochastic dominance and Omega ratio : measures to examine market efficiency, arbitrage opportunity, and anomaly

Guo, Xu; Jiang, Xuejun; Wong, Wing Keung - In: Economies : open access journal 5 (2017) 4, pp. 1-16

Persistent link: https://www.econbiz.de/10011772356

The value-added of investable hedge fund indices

Heidorn, Thomas; Kaiser, Dieter G.; Voinea, Andre - 2010

This paper empirically investigates the risk and performance of three types of alternative beta products over the January 2002 to September 2009 time period: funds of hedge funds (FHFs), investable hedge fund indices (IHFIs), and hedge fund replication strategies (HFRS). We show that IHFIs are...

Persistent link: https://www.econbiz.de/10010300724

The value-added of investable hedge fund indices

Heidorn, Thomas; Kaiser, Dieter G.; Voinea, Andre - Frankfurt School of Finance and Management - 2010

Persistent link: https://www.econbiz.de/10008554283

The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios

Pezier, Jacques; White, Anthony - Henley Business School, University of Reading - 2006

Can the new investable hedge fund indices (IHF) enhance the performance of optimal passive portfolios made of equities and bonds? How do they compare to funds of hedge funds (FoHF) as well as to other alternative investments such as commodities and volatility? The conclusions depend crucially on...

Persistent link: https://www.econbiz.de/10005558283