Omega and Sharpe ratio
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- Eric Benhamou & Beatrice Guez & Nicolas Paris1, 2019. "Omega and Sharpe ratio," Papers 1911.10254, arXiv.org.
References listed on IDEAS
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Cited by:
- Eric Benhamou & David Saltiel & Serge Tabachnik & Sui Kai Wong & François Chareyron, 2021. "Distinguish the indistinguishable: a Deep Reinforcement Learning approach for volatility targeting models," Working Papers hal-03202431, HAL.
- Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.
- Eric Benhamou & David Saltiel & Serge Tabachnik & Sui Kai Wong & Franc{c}ois Chareyron, 2021. "Adaptive learning for financial markets mixing model-based and model-free RL for volatility targeting," Papers 2104.10483, arXiv.org, revised Apr 2021.
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More about this item
Keywords
Omega ratio; Sharpe ratio; normal distribution; elliptical distribution;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2020-09-07 (Financial Markets)
- NEP-RMG-2020-09-07 (Risk Management)
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