Structured portfolio analysis under SharpeOmega ratio

Rania Hentati-Kaffel () and Jean-Luc Prigent
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Rania Hentati-Kaffel: Centre d'Economie de la Sorbonne, https://sites.google.com/site/raniahentatikaffel/
Authors registered in the RePEc Author Service: Rania HENTATI-KAFFEL

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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 combinaison 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

Keywords: Structured portfolio; performance measure; SharpeOmega ratio (search for similar items in EconPapers)
JEL-codes: C61 G11 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2012-01
New Economics Papers: this item is included in nep-rmg
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http://mse.univ-paris1.fr/pub/mse/CES2012/12002.pdf (application/pdf)

Related works:
Working Paper: Structured portfolio analysis under SharpeOmega ratio (2014)
Working Paper: Structured portfolio analysis under SharpeOmega ratio (2012)
Working Paper: Structured portfolio analysis under SharpeOmega ratio (2012)
Working Paper: Structured Portfolio Analysis under SharpeOmega Ratio (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:12002

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