moment.fourth {PerformanceAnalytics}R Documentation

calculate the fourth mathematical moment of the return function

Description

The fourth mathematical moment of the return function. Favre and Renaldo use this as separate from kurtosis in developing a four-moment CAPM model.

Usage

moment.fourth(R, na.rm = FALSE)

Arguments

R return vector of the portfolio
na.rm TRUE/FALSE Remove NA's from the returns?

Value

fourth mathematical moment of the distribution

Author(s)

Brian G. Peterson

References

Favre, L. and Renaldo, A. How to Price Hedge Funds: From Two- to Four-Moment CAPM. October 2003. UBS and Edhec Business School.

See Also

moment.third

Examples






[Package PerformanceAnalytics version 0.9.5 Index]