کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7360548 | 1478822 | 2018 | 23 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
“On the (Ab)use of Omega?”
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Several recent finance articles use the Omega measure (Keating and Shadwick, 2002), defined as a ratio of potential gains out of possible losses, for gauging the performance of funds or active strategies, in substitution of the traditional Sharpe ratio, with the arguments that return distributions are not Gaussian and volatility is not always the relevant risk metric. Other authors also use Omega for optimizing (non-linear) portfolios with important downside risk. However, we question in this article the relevance of such approaches. First, we show through a basic illustration that the Omega ratio is inconsistent with the Second-order Stochastic Dominance criterion. Furthermore, we observe that the trade-off between return and risk corresponding to the Omega measure, may be essentially influenced by the mean return. Next, we illustrate in static and dynamic frameworks that Omega-based optimal portfolios can be closely associated with classical optimization paradigms depending on the chosen threshold used in Omega. Finally, we present robustness checks on long-only asset and hedge fund databases, that confirm our results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 46, March 2018, Pages 11-33
Journal: Journal of Empirical Finance - Volume 46, March 2018, Pages 11-33
نویسندگان
Massimiliano Caporin, Michele Costola, Gregory Jannin, Bertrand Maillet,