This application finds the asset weights that maximize the Omega Ratio of a portfolio of ten investments, given their simulated monthly returns and a target return. This is a non-convex problem, and requires global optimizers for a rigorous solution. However, a transformation of the variables (only valid for Omega Ratios of over 1) converts the optimization into a linear program.
This application implements both approaches, the former using Maple's Global Optimization Toolbox, and the latter using Maple's linear programming features. For the data set provided in this application, both approaches give comparable results.