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Date: Tue, 15 Dec 2009 19:31:18 +0000 (UTC)
From: "Luc Maisonobe (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=12790906#action_12790906 ] 

Luc Maisonobe commented on MATH-323:
------------------------------------

I have just a comment on this proposal, but beware I have almost no knowledge in the field of statistics.
In your implementation, you seem to use 0 as the mean. Shouldn't the mean be computed beforehand to know where to put the cutoff value ?

I let the real statisticians give their feeling about this feature.

> 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
>            Priority: Minor
>             Fix For: 2.1
>
>         Attachments: patch.txt, StatUtils.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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