Multi-objective optimization of portfolio selection involving non-convex attributes in an anti-fragile perspective
D Gotardelo, L Goliatt - Evolving Systems, 2024 - Springer
This research aims to expand the portfolio selection horizon beyond the mean and variance
metrics derived from the Markowitz model and widely used in CAPM. Although well built …
metrics derived from the Markowitz model and widely used in CAPM. Although well built …
[PDF][PDF] Market Equity and the Omega CAPM beta
In this paper we test the cross-sectional Omega CAPM (OCAPM) with the Market Equity
variable. There is evidence in the literature that if the Market Equity is included in the …
variable. There is evidence in the literature that if the Market Equity is included in the …