Renaldas Vilkancas

Omega-optimized portfolios

Číslo: 25/2016
Periodikum: Trendy ekonomiky a managementu
DOI: 10.13164/trends.2016.25.56

Klíčová slova: Omega function, portfolio optimization, threshold return, stochastic dominance, differential evolution (DE); Funkce Omega, optimalizace portfolia, prahová návratnost, stochastická dominance, diferenciální evoluce

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Anotace: While using asymmetric risk-return measures an important role is played by selection of the investor's required or threshold rate of return. The scientific literature usually states that every investor should define this rate according to their degree of risk aversion. In this paper, it is attempted to look at the problem from a different perspective - empirical research is aimed at determining the impact of the threshold rate of return on the investment portfolio.