Optimal Asset Allocation with Omega Function

@inproceedings{AvouyiDovi2004OptimalAA,
  title={Optimal Asset Allocation with Omega Function},
  author={Sanvi Avouyi-Dovi and S{\'e}bastien Morin and David Neto},
  year={2004}
}
In this paper we propose to apply a recent performance measure function called Omega (Shadwick and Keating (2002)) to the portfolio allocation choice problem. Threshold Accepting which is one of a number of powerful global Optimisation Heuristic developed during the eighties and neighties will enable to solve the investor’s program. In order to model uncertainty of future returns we generate Monte Carlo scenarios using conditional copula theory. It allows us to take into account three… CONTINUE READING