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Omega

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Omega

by Nabeel Azar

 

10 Nov 2004 (Updated 29 Nov 2004)

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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alpha, analysis, finance, jensen, keating, modeling, performance, portfolio, portfolio optimization, risk(2), s, sharpe, value
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Comments and Ratings (5)
24 May 2013 Leslye

great job!!
07 Jul 2011 sup'com

nice job

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.
01 Apr 2009 Charles  
02 Dec 2008 Tony

Nice job!!! Thank you.
Updates
16 Nov 2004

update to binning algorithm
17 Nov 2004

update to binning algorithm
29 Nov 2004

update to binning algorithm

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