We study optimal investment strategies under the objective of maximizing the Omega ratio, proposed by Keating and Shadwick (2002) as an alternative to the Sharpe ratio for performance assessment of investment strategies. We show that in a standard set-up of the financial market the problem is...

Pourbabaee, Kwak, and Pirvu (2016) determine the constant-mix strategy that minimizes Capital at Risk (CaR) under a negative correlation constraint with a benchmark. We extend their result to any increasing law invariant objective function without condition on the sign of the correlation. In...

In this paper, we investigate an optimization problem related to super-replicating strategies for European-type call options written on a weighted sum of asset prices, following the initial approach in Chen et al. (2008). Three issues are investigated. The first issue is the (non-)uniqueness of...