cokurtosisMF

(N x k) matrix of factor loadings (i.e. the betas) from a 
statistical factor model

beta

vector of length N of the 2nd moment of the model residuals

stockM2

vector of length N of the 4th moment of the model residuals

stockM4

(k x k) matrix of the 2nd moment of the factor 
realizations from a statistical factor model

factorM2

(k x k^3) matrix of the 4th moment of the factor 
realizations from a statistical factor model

factorM4

Estimate cokurtosis matrix using a statistical factor model

Portfolio optimization and analysis routines and graphics.

Brian G Peterson

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization
of Portfolios

Peter Carl

Kris Boudt

Ross Bennett

Hezky Varon

Guy Yollin

R. Douglas Martin

cokurtosisMF function

<dl><dt>beta</dt>
<dd>(N x k) matrix of factor loadings (i.e. the betas) from a 
statistical factor model</dd>
<dt>stockM2</dt>
<dd>vector of length N of the 2nd moment of the model residuals</dd>
<dt>stockM4</dt>
<dd>vector of length N of the 4th moment of the model residuals</dd>
<dt>factorM2</dt>
<dd>(k x k) matrix of the 2nd moment of the factor 
realizations from a statistical factor model</dd>
<dt>factorM4</dt>
<dd>(k x k^3) matrix of the 4th moment of the factor 
realizations from a statistical factor model</dd></dl>

Arguments

Cokurtosis Matrix Estimate — cokurtosisMF

<dl>

<dt>beta</dt>
<dd>(N x k) matrix of factor loadings (i.e. the betas) from a 
statistical factor model</dd>


<dt>stockM2</dt>
<dd>vector of length N of the 2nd moment of the model residuals</dd>


<dt>stockM4</dt>
<dd>vector of length N of the 4th moment of the model residuals</dd>


<dt>factorM2</dt>
<dd>(k x k) matrix of the 2nd moment of the factor 
realizations from a statistical factor model</dd>


<dt>factorM4</dt>
<dd>(k x k^3) matrix of the 4th moment of the factor 
realizations from a statistical factor model</dd>

</dl>

cokurtosisMF: Cokurtosis Matrix Estimate

Description

Usage

Value

Arguments

Details