BetaCoSkewness {PerformanceAnalytics} | R Documentation |
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.
BetaCoSkewness(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? |
BCoS=CoS(Ra,Rb)/skew(Ra)
systematic skewness of asset to an initial portfolio
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