Work

Optimizing the Omega ratio using linear programming

Year: 2014

Type: article

Source: The Journal of Computational Finance

DOI: 10.21314/jcf.2014.283

Authors: Michalis Kapsos, Steve Zymler, Nicos Christofides, Berç Rustem

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2413495202

FWCI: 4.211

Cites:

Cited by: 46

Related to: 10