Johnson-Omega performance measure

Alexander Passow presents a portfolio performance measure that combines the omega measure with Johnson distributions. He shows how this measure provides a hedge fund portfolio with superior tail properties

pr-measurement

The financial crisis culminating in the Lehman Brothers collapse in September 2008 was a revealing stress test for mathematical methods in finance. Due to disastrous breakdowns and experiences, managers returned to simplistic models such as minimum variance or equally weighted portfolios, despite the fact that these ignore certain important stylised facts of financial time series, eg, trends, asymmetry and tail fatness (DeMiguel, Garlappi & Uppal 2009). In addition, mean-variance restricted

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here