Extended omega ratio optimization for risk-averse investors.

Amita Sharma Aparna Mehra

Published in: Int. Trans. Oper. Res. (2017)

Keyphrases

risk averse
portfolio management
stochastic programming
risk neutral
optimization algorithm
utility function
risk aversion
linear program
combinatorial optimization
optimization problems
decision making
multistage
portfolio optimization
decision makers
factor analysis
theoretical framework
data mining techniques