CoSkewness {PerformanceAnalytics} | R Documentation |
CoSkewness is the product of the third higher moments of two assets.
CoSkewness( Ra, Ri, na.rm = FALSE )
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? |
CoS=sum((Ra-mean(Ra))(Ri-mean(Ri)^2))
value of coskewness of Ri and Ra
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. Equation [5] p. 10
Martellini L. and Ziemann V. 2005. Marginal Impacts on Portfolio Distributions. Working Paper, Edhec Risk and Asset Management Research Centre