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hal.structure.identifierLaboratoire d'analyse et modélisation de systèmes pour l'aide à la décision [LAMSADE]
dc.contributor.authorBenhamou, Éric
hal.structure.identifier
dc.contributor.authorGuez, Beatrice
hal.structure.identifier
dc.contributor.authorParis, Nicolas
HAL ID: 8249
ORCID: 0000-0002-7155-9261
dc.date.accessioned2020-11-12T10:52:22Z
dc.date.available2020-11-12T10:52:22Z
dc.date.issued2019
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/21204
dc.language.isoenen
dc.subjectOmega ratioen
dc.subjectSharpe ratioen
dc.subjectnormal distributionen
dc.subjectelliptical distributionen
dc.subject.ddc332en
dc.titleOmega and Sharpe ratioen
dc.typeDocument de travail / Working paper
dc.description.abstractenOmega ratio, defined as the probability-weighted ratio of gains over losses at a given level of expected return, has been advocated as a better performance indicator compared to Sharpe and Sortino ratio as it depends on the full return distribution and hence encapsulates all information about risk and return. We compute Omega ratio for the normal distribution and show that under some distribution symmetry assumptions , the Omega ratio is oversold as it does not provide any additional information compared to Sharpe ratio. Indeed, for returns that have elliptic distributions , we prove that the optimal portfolio according to Omega ratio is the same as the optimal portfolio according to Sharpe ratio. As elliptic distributions are a weak form of symmetric distributions that generalized Gaussian distributions and encompass many fat tail distributions, this reduces tremendously the potential interest for the Omega ratio.en
dc.publisher.cityParisen
dc.relation.ispartofseriestitlePreprint Lamsadeen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-02886481en
dc.subject.ddclabelEconomie financièreen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2020-11-12T10:50:02Z
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