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| File Information |
| 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 (2) |
| 02 Dec 2008 |
Tony
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| 01 Apr 2009 |
Charles
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| 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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