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    Distributed optimisation of a portfolio's Omega
    13 years 11 months ago
    Distributed optimisation of a portfolio's Omega
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    • ‘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...
    Manfred Gilli, Enrico Schumann
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