Distributed optimisation of a portfolio's Omega

• ‘Constructing 130/30-Portfolios with the Omega Ratio’, http://ssrn.com/abstract=1464798 (forthcoming, Journal of Asset Management), (with E. Schumann, G. di Tollo, G. Cabej) • ‘Robust Regression with Optimisation Heuristics’, COMISEF Working Paper Series No. 011, http:

• Type: Journal
• Year: 2010
• Where: PC
• Authors: Manfred Gilli, Enrico Schumann
• Keywords: HTTP, Management, Omega Ratio, Optimisation Heuristics, PC 2010