Markowitz formulated the portfolio optimization problem through two criteria: the expected
return and the risk, as a measure of the variability of the return. The classical Markowitz …

In standard portfolio theory, an investor is typically taken as having one stochastic objective,
to maximize the random variable of portfolio return. But in this paper, we focus on investors …

Many risk measures have been recently introduced which (for discrete random variables)
result in Linear Programs (LP). While some LP computable risk measures may be viewed as …

Portfolio theory was first developed by Harry Markowitz in the 1950s. His work, which was
extended by several researchers, provides the foundation of the so-called modern portfolio …

Modern performance measures differ from the classical ones since they assess the
performance against a benchmark and usually account for asymmetry in return distributions …

The Omega ratio is a recent performance measure proposed to overcome the known
shortcomings of the Sharpe ratio. Until recently, the Omega ratio was thought to be …

This paper presents a novel framework for optimizing portfolios using distribution dependent
thresholds in Omega ratio to control the downside risk. Portfolios resulting from the …

The enhanced index tracking problem (EITP) calls for the determination of an optimal
portfolio of assets with the bi-objective of maximizing the excess return of the portfolio above …

This paper deals with a portfolio selection problem with transaction costs and two levels of
decision-making. It is assumed that the decision making structure is twofold: there is a broker …

The Omega ratio, a performance measure that separately considers upside and downside
deviations from a fixed threshold, improves the Sharpe ratio by incorporating the higher …