Hi,
Defining semi-variance as
(1/n) SUM { (Min (0, x - t))^2 }
then coding this straight into S would be pretty good as
(x [x < t] %*% x [x < t]) / length (x)
or
SUM (x [x < t] ^ 2) / length (x)
You'd have to do some checking on dimensions / size etc.
Calculating a min variance portfolio is much trickier. The NUOPT library will
happily do it (if you have it / can afford it). If you have an unconstrained
problem then the solution is just matrix multiplication.
Regards,
David Jessop
>-----Original Message-----
>From: Mandans [mailto:mandans_p@yahoo.com]
>Sent: 20 March 2003 14:11
>To: s-news@lists.biostat.wustl.edu
>Subject: Semi-Variance
>
>
>Hi there,
>
>It is been such a great a community here. Thanks all
>you guys.
>
>I have a question regarding how to calculate
>semi-varince using splus. Any one know how to
>calculate semi-varaince using splus.? And also any
>functions or scripts which might be able to use to
>calculate min varince portfolio...(actually minimum
>semi variance portfolio.)
>
>All your help is highly appreciated.
>Thanks
>
>
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