INDICATORUL OMEGA, INSTRUMENT DE ANALIZA
PE PIAŢA ROMÂNĂ DE CAPITAL
OMEGA INDEX, ANALIZE INSTRUMENT ON THE ROMANIAN STOCK MARKET
Author(s): Adrian NiţuSubject(s): Economy
Published by: Editura Universităţii Vasile Goldiş
Keywords: assesing performances on the capital market; post modern portfolio theory; Omega index; asymmetric returns; Skewness; Kurtosis.
Summary/Abstract: The Post Modern Portfolio Theory is conceptually related to “downside” risk-adjusted return measures. The Sortino Ratio and the more recently developed Omega statistic are the most used measures in portfolio analysis for the asymmetric returns. We show how the Omega index and Omega function are applied to measure the performances of Romanian capital market assets in the downside risk- return environment.
Journal: Studia Universitatis Vasile Goldiş, Arad - Seria Ştiinţe Economice
- Issue Year: 18/2008
- Issue No: 1
- Page Range: 138-150
- Page Count: 13
- Language: Romanian
