Constructing Long/Short Portfolios with the Omega Ratio

Author(s):  
Manfred Gilli ◽  
Enrico Schumann ◽  
Giacomo di Tollo ◽  
Gerda Cabej
Keyword(s):  
2011 ◽  
Vol 12 (2) ◽  
pp. 94-108 ◽  
Author(s):  
Manfred Gilli ◽  
Enrico Schumann ◽  
Giacomo di Tollo ◽  
Gerda Cabej
Keyword(s):  

2014 ◽  
Vol 234 (2) ◽  
pp. 499-507 ◽  
Author(s):  
Michalis Kapsos ◽  
Nicos Christofides ◽  
Berç Rustem
Keyword(s):  

2020 ◽  
Vol 8 (1) ◽  
pp. 18-40
Author(s):  
Syed Zakir Abbas Zaidi ◽  

There are more than one hundred portfolio performances, which have been proposed in financial literature, (Cogneau and Hubner, 2009), but extensively used performance measure is a Sharpe ratio and in Pakistan Asset Management Companies (AMCs) also prefer to exhibit their performance in Sharpe ratio. However, financial literature has ample of evidence that recommend Sharpe ratio is valid under normal distribution of returns. The financial returns are not distributed normally as result of which standard deviation may not adequately measure risk (Bodie et al., 2009). Whereas, standard deviation of negatively skewed distribution underestimates and positively skewed overestimates volatility that would be misleading Sharpe index. In this study, we concluded that for skewed and non-normal distribution Omega ratio or Sharpe-Omega are alternative performance measures.


2021 ◽  
Vol 25 (2) ◽  
pp. 211-220
Author(s):  
Sylvia Ivanova ◽  
Yordanka Ilieva ◽  
Pencho Penchev

Abstract Milk provides some beneficial fatty acids which in dairy processing are subjected to pasteurization and fermentation. With the aim to assess such changes, aliquot parts of milk from 12 buffaloes were pooled and processed to germinated yoghurt and brined cheese, and to non-germinated curd – the respective samples of raw and dairy material subjected to lipid analysis. The results show that in cheese positive and negative changes are generally balanced, rumenic acid decreasing and other CLAs altered but not total CLA and PUFA; omega ratio and atherogenicity index worsened to little extent, due to adverse change in n-3, myristic and lauric acid. In yoghurt and curd CLA dramatically decreased, excluding rumenic acid; but vaccenic acid increased, though total trans isomers decreased; the worsened n-6/n-3 ratio and atherogenicity index is mostly because of the adverse effect on PUFAn-3 but also on myristic and lauric acid. In all products SFA and MUFA did not change, including palmitic, stearic, and oleic acid. It can be concluded that the decrease of CLA in yoghurt and curd is partially compensated by the increase in the vaccenic acid, while cheese making altered individual isomers but not groups of beneficial acids.


2014 ◽  
Vol 17 (4) ◽  
pp. 49-57 ◽  
Author(s):  
Michalis Kapsos ◽  
Steve Zymler ◽  
Nicos Christofides ◽  
Berç Rustem

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