| Article ID: | iaor200971269 |
| Country: | Netherlands |
| Volume: | 45 |
| Issue: | 1 |
| Start Page Number: | 153 |
| End Page Number: | 167 |
| Publication Date: | Sep 2009 |
| Journal: | Journal of Global Optimization |
| Authors: | Bartholomew-Biggs M C, Kane S J, Cross M, Dewar M |
| Keywords: | portfolio optimization |
This paper considers the Omega function, proposed by Cascon, Keating & Shadwick as a performance measure for comparing financial assets. We discuss the use of Omega as a basis for portfolio selection. We show that the problem of choosing portfolio weights in order to maximize Omega typically has many local solutions and we describe some preliminary computational experience of finding the global optimum using a NAG library implementation of the Huyer & Neumaier MCS method.