Omega

Computes the omega value of a portfolio.

Description

This function computes the Omega value of a portfolio, as described in a paper by Keating and Shadwick.

 S = OMEGA(RETURNS) gives a structure S containing data so that:
        S.returnLevel = input return levels
        S.omegaValues = omega value at that return level
    RETURNS must be a vector.
 
    S = OMEGA(RETURNS,LEVELS) returns the same structure, but only provides values at the return levels specified in LEVELS.

• MATLAB release: MATLAB 7 (R14)

[Tony]

Nice job!!! Thank you.

[Charles]

 

[Rahul]

Thanks for this. Referring to the paper, Omega value at the return's mean is 1. This doesn't seem the answer with this code. Your help is appreciated.

[sup'com]

nice job