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From "Larry Diamond (JIRA)" <j...@apache.org>
Subject [jira] Created: (MATH-323) Add Semivariance calculation
Date Fri, 11 Dec 2009 20:32:18 GMT
Add Semivariance calculation
----------------------------

                 Key: MATH-323
                 URL: https://issues.apache.org/jira/browse/MATH-323
             Project: Commons Math
          Issue Type: New Feature
    Affects Versions: 2.1
            Reporter: Larry Diamond
            Priority: Minor
             Fix For: 2.1


I've added semivariance calculations to my local build of commons-math and I would like to
contribute them.

Semivariance is described a little bit on http://en.wikipedia.org/wiki/Semivariance , but
a real reason you would use them is in finance in order to compute the Sortino ratio rather
than the Sharpe ratio.

http://en.wikipedia.org/wiki/Sortino_ratio gives an explanation of the Sortino ratio and why
you would choose to use that rather than the Sharpe ratio.  (There are other ways to measure
the performance of your portfolio, but I wont bore everybody with that stuff)

I've already got the coding completed along with the test cases and building using mvn site.

The only two files I've modified is src/main/java/org/apache/commons/stat/StatUtils.java and
src/test/java/org/apache/commons/math/stat/StatUtilsTest.java


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