BetaCoKurtosis {PerformanceAnalytics} | R Documentation |
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.
BetaCoKurtosis( Ra, Ri, na.rm = FALSE, method = c("moment", "excess", "fisher"))
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 |
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)}
systematic kurtosis of two assets
Brian G. Peterson
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