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From "Phil Steitz (JIRA)" <j...@apache.org>
Subject [jira] Issue Comment Edited: (MATH-323) Add Semivariance calculation
Date Mon, 28 Dec 2009 01:04:29 GMT

    [ https://issues.apache.org/jira/browse/MATH-323?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12794740#action_12794740
] 

Phil Steitz edited comment on MATH-323 at 12/28/09 1:03 AM:
------------------------------------------------------------

The definition provided here: http://www.jstor.org/pss/2330500 makes sense to me as a "semivariance"
measure.  An unbiased estimator would be the sum of the squared deviations from the target
of the values below the target divided by the total number of values minus one.

      was (Author: psteitz):
    The definition provided here: http://www.jstor.org/pss/2330500 makes sense to me as a
"semivariance" measure.  An unbiased estimator would be the sum of the squared deviations
from the target of the values below the target divided by the total number of values.
  
> Add Semivariance calculation
> ----------------------------
>
>                 Key: MATH-323
>                 URL: https://issues.apache.org/jira/browse/MATH-323
>             Project: Commons Math
>          Issue Type: New Feature
>    Affects Versions: 2.1
>            Reporter: Larry Diamond
>            Assignee: Phil Steitz
>            Priority: Minor
>             Fix For: 2.1
>
>         Attachments: patch.txt, patch2.txt, StatUtils.java, StatUtils.java, StatUtilsTest.java,
StatUtilsTest.java
>
>
> I've added semivariance calculations to my local build of commons-math and I would like
to contribute them.
> Semivariance is described a little bit on http://en.wikipedia.org/wiki/Semivariance ,
but a real reason you would use them is in finance in order to compute the Sortino ratio rather
than the Sharpe ratio.
> http://en.wikipedia.org/wiki/Sortino_ratio gives an explanation of the Sortino ratio
and why you would choose to use that rather than the Sharpe ratio.  (There are other ways
to measure the performance of your portfolio, but I wont bore everybody with that stuff)
> I've already got the coding completed along with the test cases and building using mvn
site.
> The only two files I've modified is src/main/java/org/apache/commons/stat/StatUtils.java
and src/test/java/org/apache/commons/math/stat/StatUtilsTest.java

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