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Omega

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10 Nov 2004 (Updated )

Computes the omega value of a portfolio.

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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)
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Comments and Ratings (6)
11 Apr 2014 besso rami  
24 May 2013 Leslye

Leslye (view profile)

great job!!

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07 Jul 2011 sup'com

nice job

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25 Jun 2010 Rahul

Rahul (view profile)

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.

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01 Apr 2009 Charles  
02 Dec 2008 Tony

Tony (view profile)

Nice job!!! Thank you.

Updates
16 Nov 2004

update to binning algorithm

17 Nov 2004

update to binning algorithm

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