Zastosowanie funkcji omega w ocenie efektywności portfeli dwuskładnikowych
Two-asset portfolio performance based on the omega function

Summary/Abstract: The omega function, proposed by Keating and Shadwick in 2002, is used in a valuation of the performance of investments (eg. stock or mutual funds). This function takes into account all the information concerning the distribution of random rates of return of investment as well as the investor’s preferences expressed by the threshold, in respect of which investment outcome is understood as a relative gain or relative loss. Knowing its analytical form is crucial for the practical use of the omega function in a valuation of investment. The aim of this paper is to present the main properties of the omega functions and to derive the analytical form of this function for the two-asset portfolios assuming selected continuous distributions of returns. Portfolios composed of risky and risk-free assets and portfolios containing only riksy assets will be considered.

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