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Luc Maisonobe commented on MATH-323: ------------------------------------ I have just a comment on this proposal, but beware I have almost no knowledge in the field of statistics. In your implementation, you seem to use 0 as the mean. Shouldn't the mean be computed beforehand to know where to put the cutoff value ? I let the real statisticians give their feeling about this feature. > 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 > > Attachments: patch.txt, StatUtils.java, StatUtilsTest.java > > > 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 -- This message is automatically generated by JIRA. - You can reply to this email to add a comment to the issue online.