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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.
Cite As
Nabeel Azar (2026). Omega (https://www.mathworks.com/matlabcentral/fileexchange/6235-omega), MATLAB Central File Exchange. Retrieved .
Categories
Find more on Portfolio Optimization and Asset Allocation in Help Center and MATLAB Answers
General Information
- Version 1.0.0.0 (1.19 KB)
-
No License
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 | update to binning algorithm |
