The OmegaRatio.lng Model

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Solve an Omega ratio portfolio problem as a nonlinear program
   Maximize  (E(R)-tau)/E(max(0,tau - R)),
 where the random variable R is the portfolio return, and
 tau is a give target, such as the risk free rate of return.
 The Omega ratio is sometimes suggested as an alternative to
 the Sharpe ratio, when the distribution of R is very asymmetric; 

Keywords:

Portfolio | Stocks | Scenario | Sharpe Ratio | LINGO | Omega ratio | Investment | Risk |