Daniel Moser

Moment and Omega Rankings of Index ETFs

I have just recently discovered the concept of omega as a portfolio measure and I have a question for you...

How do you incorporate correlation measurements into portfolio construction using Omega as your maxmizing function during the construction process? I think I understand the objective behind seperating gains from losses for the purposes of capture various moments of the distribution but it seems like this process, on face, loses the ability to construct portfolios that utilize inverse correlations in the market place. Thanks for your help.