moment.third {PerformanceAnalytics} | R Documentation |
The third mathematical moment of the return function. Favre and Renaldo use this as separate from skewness in developing a four-moment CAPM model.
moment.third(R, na.rm = FALSE)
R |
return vector of the portfolio |
na.rm |
TRUE/FALSE Remove NA's from the returns? |
third moment of the return series
Brian G. Peterson
Favre, L. and Renaldo, A., October 2003. How to Price Hedge Funds: From Two- to Four-Moment CAPM. UBS and Edhec Business School.