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Omega

version 1.0 (2.62 KB) by

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.

Comments and Ratings (6)

besso rami

Leslye

Leslye (view profile)

great job!!

sup'com

nice job

Rahul

Rahul (view profile)

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.

Charles

Tony

Tony (view profile)

Nice job!!! Thank you.

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