<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0186-1042</journal-id>
<journal-title><![CDATA[Contaduría y administración]]></journal-title>
<abbrev-journal-title><![CDATA[Contad. Adm]]></abbrev-journal-title>
<issn>0186-1042</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0186-10422023000100097</article-id>
<article-id pub-id-type="doi">10.22201/fca.24488410e.2023.3432</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Is the omega ratio a good portfolio optimization criterion?]]></article-title>
<article-title xml:lang="es"><![CDATA[¿Es la ratio omega un buen criterio de optimización de portafolios?]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Samaniego Alcántar]]></surname>
<given-names><![CDATA[Angel]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Instituto Tecnológico y de Estudios Superiores de Occidente  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>03</month>
<year>2023</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>03</month>
<year>2023</year>
</pub-date>
<volume>68</volume>
<numero>1</numero>
<fpage>97</fpage>
<lpage>113</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0186-10422023000100097&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0186-10422023000100097&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0186-10422023000100097&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract The Omega ratio has been widely used in the literature to optimize and search for good performance in investment portfolios. It considers both the downside and upside potential of the portfolio with respect to a predetermined threshold, which can be fixed or time varying. Mixed results have been obtained in different markets and periods. And when combined with other performance or risk measures, its results can be improved. The proposed model restricts the omega ratio to a value of less than 470, a maximum investment in each asset of 15%, with a target annual return equal to the return of the Dow Jones Industrial Average (DJIA) among the assets that make up the index. In the study period (2000-2020, rolling window with annual return per day) there is a 64% probability of outperforming the DJIA with an appraisal of 2.36, higher than the other models used (Upside potential, Downside potential, semi-variance and unconstrained Omega).]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen El ratio Omega ha tenido un uso amplio en la literatura para optimizar y la búsqueda de un buen desempeño en las carteras de inversión. Considera tanto el potencial de la cartera a la baja como al alza, respecto a un umbral predeterminado, el cual puede ser fijo o variable en el tiempo. Se han obtenido resultados mixtos en diferentes mercados y periodos. Y al combinarse con otras medidas de desempeño o de riesgo se pueden mejorar sus resultados. El modelo propuesto se restringe la ratio omega a un valor menor de 470, un máximo de inversión en cada activo del 15%, con un objetivo de rendimiento anual igual al rendimiento del Dow Jones industrial Average (DJIA) entre los activos que componen el índice. En el periodo de estudio (2000-2020, rendimiento anual por día utilizan ventanas móviles) se tiene una probabilidad del 64% de superar al DJIA con un desempeño por riesgo no sistemático del 2.36 (appraisal), superior al resto de modelos utilizados (Upside-potential, Dowside-potential, semi-variance y Omega sin restricciones).]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[omega ratio]]></kwd>
<kwd lng="en"><![CDATA[semi-variance]]></kwd>
<kwd lng="en"><![CDATA[portfolio selection]]></kwd>
<kwd lng="en"><![CDATA[mean-variance]]></kwd>
<kwd lng="en"><![CDATA[passive management]]></kwd>
<kwd lng="es"><![CDATA[ratio omega]]></kwd>
<kwd lng="es"><![CDATA[semi-varianza]]></kwd>
<kwd lng="es"><![CDATA[selección de carteras]]></kwd>
<kwd lng="es"><![CDATA[media-varianza]]></kwd>
<kwd lng="es"><![CDATA[administración pasiva de portafolios]]></kwd>
</kwd-group>
</article-meta>
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