Omega

Version 1.0.0.0 (1.19 KB) by Nabeel Azar
Computes the omega value of a portfolio.
4.3
(3)
3.2K Downloads
Updated 29 Nov 2004

No License

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.

Cite As

Nabeel Azar (2024). Omega (https://www.mathworks.com/matlabcentral/fileexchange/6235-omega), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R14
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
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Version Published Release Notes
1.0.0.0

update to binning algorithm