{'fraction_non_alphanumeric': 0.023458445040214475, 'fraction_numerical': 0.005361930294906166, 'mean_word_length': 5.195020746887967, 'pattern_counts': {'":': 0, '<': 0, '<?xml version=': 0, '>': 0, 'https://': 0, 'lorem ipsum': 0, 'www.': 0, 'xml': 0}, 'pii_count': 0, 'substrings_counts': 0, 'word_list_counts': {'cursed_substrings.json': 0, 'profanity_word_list.json': 0, 'sexual_word_list.json': 0, 'zh_pornsignals.json': 0}}
Using Omega Measure for Performance Assessment of a Real Options Portfolio

The portfolio composition of assets is a classic theme in finance literature. Investors want to get highest return, minimizing as possible the involved risk. In a portfolio composed by real assets, such as investment projects, it must be decided which of them carry on. So, it is always a challenge to measure the involved risk. Furthermore, in a portfolio of real assets it’s possible to introduce and model for each individual project future investment decisions, like the right time to invest, making an expansion, reduction of operations, abandonment, etc. Bearing in mind the possibility of exercising these options, the model becomes more realistic. For this type of portfolios, in order to do an adequate assessment of their risk-return performance, it is proposed to use the universal measure called Omega, developed by Keating and Shadwick (2002), which reflects all the properties statistics of the distribution of gains and losses, incorporating all moments of the distribution of returns, and not only the mean and variance as is done in the classical approach of portfolio composition in Markowitz (1952). It’s demonstrated that using Omega measure for performance assessment and portfolio composition, is more advantageous than using the classic Mean-Variance approach. The main objective of our research is to apply the Omega measure in portfolios containing Real Options in their Investment Projects.