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The Omega Function : A Comparison Between Optimized Portfolios

The traditional way to analyze stocks and portfolios within the area of finance have been restricted to Sharpe and Markovitz. The Omega function and its properties enlighten the field of finance and differs from the traditional ways when it comes to the volatility of the stocks. The Omega function, the Sharpe performance criteria and mean-variance model by Markovitz will be used. All calculations are done in Matlab and the data sheets are excel tables. The aim of this thesis is to investigate the nordic small cap market by using the Omega function, Sharpe performance criteria and the mean variance model by Markovitz. In order to to see how the purposed methods differs.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-13272
Date January 2011
CreatorsSalih, Ali
PublisherMälardalens högskola, Akademin för utbildning, kultur och kommunikation
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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