Preprint E43/2016
Omega Risk Measures for a Portfolio of Commodities: A Case Study
Luciana Blatter | Jorge Passamani Zubelli

In this technical report, we propose a methodology that combines the dimensionality reduction of a portfolio and the optimization of the most well-known performance measure: Omega Ratio. Also, we outline the importance of preserving the correlations that the assets hold to each other. Finally, in order to validate the method, we use backtesting techniques in the historical data comparing the optimal results to a fixed given portfolio.