Add Semivariance calculation
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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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