Portfolio Optimization with the Omega Ratio - Maple Application Center
Application Center Applications Portfolio Optimization with the Omega Ratio

Portfolio Optimization with the Omega Ratio

: Maplesoft AuthorSamir Khan
Engineering software solutions from Maplesoft
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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.

Application Details

Publish Date: November 22, 2012
Created In: Maple 16
Language: English

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