Skip to Main content Skip to Navigation
New interface
Preprints, Working Papers, ...

Structured portfolio analysis under SharpeOmega ratio

Abstract : This paper deals with performance measurement of financial structured products. For this purpose, we introduce the SharpeOmega ratio, based on put as downside risk measure. This allows to take account of the asymmetry of the return probability distribution. We provide general results about the optimization of some standard structured portfolios with respect to the SharpeOmega ratio. We determine in particular the optimal combination of risk free, stock and call/put instruments with respect to this performance measure. We show that, contrary to Sharpe ratio maximization (Goetzmann et al., 2002), the payoff of the optimal structured portfolio is not necessarily increasing and concave. We also discuss about the interest of the asset management industry to reward high Sharpe Omega ratios.
Document type :
Preprints, Working Papers, ...
Complete list of metadata

Cited literature [57 references]  Display  Hide  Download
Contributor : Rania Hentati Kaffel Connect in order to contact the contributor
Submitted on : Friday, January 6, 2012 - 12:54:12 PM
Last modification on : Wednesday, October 5, 2022 - 11:12:07 AM
Long-term archiving on: : Saturday, April 7, 2012 - 2:46:10 AM


Files produced by the author(s)


  • HAL Id : hal-00657327, version 1


Rania Hentati, Jean-Luc Prigent. Structured portfolio analysis under SharpeOmega ratio. 2012. ⟨hal-00657327⟩



Record views


Files downloads