PerformanceAnalytics (version 0.9.5)

CoKurtosis: calculate the co-moment for kurtosis of two assets

Description

CoKurtosis is the product of the fourth higher moments of two assets.

Usage

CoKurtosis( Ra, Ri, na.rm = FALSE )

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?

Value

• value of cokurtosis of Ri and Ra

Details

$$CoK_{a,b}=\sum((R_{a}-\bar{R_{a}})(R_{i}-\bar{R_{i}})^{3})$$

References

Martellini L., Vaissie M., Ziemann V. Investing in Hedge Funds: Adding Value through Active Style Allocation Decisions. October 2005. Edhec Risk and Asset Management Research Centre. Equation [5] p. 10

Martellini L. and Ziemann V. 2005. Marginal Impacts on Portfolio Distributions. Working Paper, Edhec Risk and Asset Management Research Centre

See Also

BetaCoKurtosis kurtosis