Articles by Tag: Optimization

Introduced in 2002 by Keating and Shadwick, Omega ratio is a relatively new addition in a hedge fund metrics library. By employing higher moments and taking into account actual shapes of distributions of returns, this measure is well-suited for hedge fund risk assessment, because of non-normality of their distributions.

Introduced in 2002 by Keating and Shadwick, Omega ratio is a relatively new addition in a hedge fund metrics library. By employing higher moments and taking into account actual shapes of distributions of returns, this measure is well-suited for hedge fund risk assessment, because of non-normality of their distributions.

Hedge fund portfolio optimization drastically differs from that of conventional asset classes. Applying the common asset optimization framework to hedge funds, usually leads to highly questionable results that only mislead an inexperienced investor. The main aspects of hedge fund portfolio optimization could be outlined as follows...