Structured portfolio analysis under SharpeOmega ratio

Rania Hentati-KAFFEL and Jean-Luc Prigent
Authors registered in the RePEc Author Service: Rania HENTATI-KAFFEL

No 2014-425, Working Papers from Department of Research, Ipag Business School

Abstract: This paper deals with performance measurement of financial struc- tured 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 gen- eral results about the optimization of some standard structured portfolios with respect to the SharpeOmega ratio. We determine in particular the optimal combination of risk free, stock and calljput instruments with re- spect 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.

Pages: 31 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-rmg
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Related works:
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 (2012)
Working Paper: Structured Portfolio Analysis under SharpeOmega Ratio (2010)
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