No BSD License
Nabeel Azar (view profile)
10 Nov 2004
29 Nov 2004)
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.
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.
Nice job!!! Thank you.
update to binning algorithm