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The Omega Function: A Comparison Between Optimized Portfolios
Mälardalen University, School of Education, Culture and Communication. (Matematik/Tillämpad matematik, Analytical Finance)
2011 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The traditional way to analyze stocks and portfolios within the area of finance have been restricted to Sharpe and Markovitz. The Omega function and its properties enlighten the field of finance and differs from the traditional ways when it comes to the volatility of the stocks. The Omega function, the Sharpe performance criteria and mean-variance model by Markovitz will be used. All calculations are done in Matlab and the data sheets are excel tables. The aim of this thesis is to investigate the nordic small cap market by using the Omega function, Sharpe performance criteria and the mean variance model by Markovitz. In order to to see how the purposed methods differs.
Place, publisher, year, edition, pages
2011. , p. 25
Keywords [en]
Portfolio, Portfolio theory, optimising, optimizing, optimization, optimisation, Omega, Omega function, sharpe, sharpe ratio, ranking assets, markowitz, transaction cost
National Category
Mathematical Analysis
Identifiers
URN: urn:nbn:se:mdh:diva-13272OAI: oai:DiVA.org:mdh-13272DiVA, id: diva2:455414
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2011-11-15 Created: 2011-11-09 Last updated: 2013-01-17Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
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  • Other locale
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Output format
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