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From "Phil Steitz (JIRA)" <j...@apache.org>
Subject [jira] Commented: (MATH-323) Add Semivariance calculation
Date Mon, 01 Feb 2010 10:21:50 GMT

    [ https://issues.apache.org/jira/browse/MATH-323?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12828062#action_12828062
] 

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

Apologies for the response latency on the latest patch. Almost there. 

I still think we should be computing deviations from the cutoff, rather than the mean when
a cutoff is provided. The version of evaluate that takes a cutoff value should not require
the mean as a parameter. We can also improve efficiency in evaluate(...h...) by computing
the deviation and incrementing the SS only for values on the correct side of the cutoff. 

We need to add references and formulas to the javadoc. I can take care of that as long as
we agree that we are using the mathematical formula here for lower (aka downside) semivariance:
http://www.jstor.org/pss/2330500. That formula says that the lower semivariance is the expected
squared deviation of a value below the cutoff from the cutoff.

This can wait, but we should also see if we can get better numerics on the SS computation
by using a two-pass algorithm as we do in Variance

> 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, SemiVariance.java, SemiVariance.java, SemiVariance.java,
SemiVarianceTest.java, SemiVarianceTest.java, SemiVarianceTest.java, 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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