Sebastien Pache

Universite de Lausanne

Banking and Finance

1015 Lausanne

Switzerland

SCHOLARLY PAPERS

1

DOWNLOADS
Rank 18,089

SSRN RANKINGS

Top 18,089

in Total Papers Downloads

3,568

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (1)

1.

The Omega Measure: Hedge Fund Portfolio Optimization

Number of pages: 45 Posted: 05 Feb 2003
Alexandre Favre-Bulle and Sebastien Pache
University of Lausanne and Universite de Lausanne
Downloads 3,568 (3,847)
Citation 7

Abstract:

Loading...

Hedge fund, non-normality, skewness, kurtosis, higher moments, omega, risk, reward, gain, loss, attractiveness, portfolio optimization