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Nabeel Azar


10 Nov 2004 (Updated )

Computes the omega value of a portfolio.

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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

besso rami

24 May 2013 Leslye


great job!!

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07 Jul 2011 sup'com


nice job

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25 Jun 2010 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.

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01 Apr 2009 Charles


02 Dec 2008 Tony


Nice job!!! Thank you.

16 Nov 2004

update to binning algorithm

17 Nov 2004

update to binning algorithm

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