cokurtosisSF

Estimate cokurtosis matrix using a single factor 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

Ross Bennett

Kris Boudt

Xinran Zhao

R. Douglas Martin

Guy Yollin

Hezky Varon

Xiaokang Feng

Yifu Kang

cokurtosisSF function

<dl><dt>beta</dt>
<dd>vector of length N or (N x 1) matrix of factor loadings 
(i.e. the betas) from a single factor 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>scalar of the 2nd moment of the factor realizations from a 
single factor statistical factor model</dd>
<dt>factorM4</dt>
<dd>scalar of the 4th moment of the factor realizations from a 
single factor statistical factor model</dd></dl>

Arguments

Cokurtosis Matrix Estimate — cokurtosisSF

<dl>

<dt>beta</dt>
<dd>vector of length N or (N x 1) matrix of factor loadings 
(i.e. the betas) from a single factor 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>scalar of the 2nd moment of the factor realizations from a 
single factor statistical factor model</dd>


<dt>factorM4</dt>
<dd>scalar of the 4th moment of the factor realizations from a 
single factor statistical factor model</dd>

</dl>

Cokurtosis Matrix Estimate

cokurtosisSF: Cokurtosis Matrix Estimate

Description

Usage

Value

Arguments

Details