BetaCoSkewness {PerformanceAnalytics}R Documentation

systematic skewness of an asset to an initial portfolio

Description

Beta CoSkewness is the beta of an asset to the skewness of an initial portfolio. Used to determine diversification potential. also called "systematic skewness" or "systematic co-skewness" by several papers.

Usage

BetaCoSkewness(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?

Details

BCoS=CoS(Ra,Rb)/skew(Ra)

Value

systematic skewness of asset to an initial portfolio

Note

Author(s)

Brian G. Peterson

References

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. Equation [5] p. 10

See Also

CoSkewness skewness

Examples






[Package PerformanceAnalytics version 0.9.5 Index]