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Date: Tue, 29 Dec 2009 20:15:29 +0000 (UTC)
From: "Phil Steitz (JIRA)" <jira@apache.org>
To: issues@commons.apache.org
Subject: [jira] Commented: (MATH-323) Add Semivariance calculation
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    [ https://issues.apache.org/jira/browse/MATH-323?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12795132#action_12795132 ] 

Phil Steitz commented on MATH-323:
----------------------------------

It might make sense to introduce another boolean constructor parameter to indicate upper- or lower- semivariance.  Assuming that lower semivariance is more common, lower could be the default.   Alternatively, this can always just be computed by subtracting the lower value from the unconditioned variance, so it might not be necessary.  Could always be added later.  

> 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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