Jeanette, Lisa, and Larry's blog

My semivariance work was accepted a while back by the Apache foundation for their commons-math project and is now part of the library.

Semivariance was actually part of Harry Markowitz's work on Modern Portfolio Theory, but computers at the time couldn't easily do this. That was a long time ago and now the calculation is very easy to do in Java or any other general programming language. The whole idea of using semivariance instead of variance is that you care about the risk of losing money rather than simply variance. That 20% gain is not a problem, but that 20% loss sure is.

That's where the Sortino ratio comes in instead of the Sharpe Ratio. In any case, semivariance is part of Post-Modern Portfolio Theory and you can now do that calculation easily thanks to my donation to the Apache Commons Math project.

Computing Semi-beta and other statistical items is also easy enough to do, it's really the same idea - what happens in a distribution for some arbitrary where clause in this other distribution. It's a curveball on simple statistics we all learned in junior high school.