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Maximizing the Omega Ratio by Two Linear Programming Problems

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Cybernetics and Systems Analysis Aims and scope

It is shown how the portfolio Omega ratio can be maximized using two linear programming problems. The solution algorithm is to test some condition and solve one of these problems depending on the condition. An example of calculations is given.

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Authors and Affiliations

  1. V. M. Glushkov Institute of Cybernetics, National Academy of Sciences of Ukraine, Kyiv, Ukraine

    V. S. Kirilyuk

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  1. V. S. Kirilyuk
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Correspondence to V. S. Kirilyuk.

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Translated from Kibernetika i Sistemnyi Analiz, No. 5, September–October, 2013, pp. 69–76.

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Kirilyuk, V.S. Maximizing the Omega Ratio by Two Linear Programming Problems. Cybern Syst Anal 49, 699–705 (2013). https://doi.org/10.1007/s10559-013-9557-5

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  • DOI: https://doi.org/10.1007/s10559-013-9557-5

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