A Review of Omega Based Portfolio Optimization

Portfolio optimization aims to pick risky assets to meet the goal of maximizing the return and minimizing the risk. One should model the best combination of assets by striving the optimal relationship between risk and return for an appropriate investor even when the constraints are present. This paper aims to study the risk measure Conditional Value At Risk with constraints, that are added in a portfolio and are analyzed in the optimization problem. It also focuses on how will the portfolio work when a threshold value $L(\alpha)$:- CVaR is fixed. The dataset was taken from YAHOO Finance consisting of weekly historical prices were implemented.