BetaCoKurtosis: systematic kurtosis of an asset to the initial portfolio
Description
Beta CoKurtosis is the beta of an asset to the kurtosis of an initial portfolio. Used to determine diversification potential.
Also called "systematic kurtosis" or "systematic cokurtosis" by several papers.Usage
BetaCoKurtosis( Ra, Ri, na.rm = FALSE, method = c("moment", "excess", "fisher"))Arguments
Ra
return vector of asset being considered for addition to portfolio
Ri
return vector of initial portfolio
na.rm
TRUE/FALSE Remove NA's from the returns?
method
method to use when computing kurtosis one of: excess, moment, fisher Value
- systematic kurtosis of two assets
Details
$$K_{a,b}=\frac{CoK_{a,b}}{S_{a}}=\frac{\sum((R_{a}-\bar{R_{a}})(R_{b}-\bar{R_{b}})^{3})}{\sum(R_{a}-\bar{R_{a}})^{4}}{BCoK(Ra,Rb)=CoK(Ra,Rb)/kurtosis(Ra)}$$References
Martellini L., Vaissie M., Ziemann V., October 2005. Investing in Hedge Funds: Adding Value through Active Style Allocation Decisions. Edhec Risk and Asset Management Research Centre