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From "Larry Diamond (JIRA)" <j...@apache.org>
Subject [jira] Updated: (MATH-323) Add Semivariance calculation
Date Thu, 17 Dec 2009 18:37:18 GMT

     [ https://issues.apache.org/jira/browse/MATH-323?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Larry Diamond updated MATH-323:
-------------------------------

    Attachment: StatUtilsTest.java
                StatUtils.java
                patch2.txt

Here's an update where the zero adjustment isn't presumed elsewhere.

I've also added more test cases.

Please feel free to contact me if you have any questions about this submission.

Thank you very much for your time and attention.

> 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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