CoSkewness {PerformanceAnalytics}R Documentation

calculate the co-moment for skewness of two assets

Description

CoSkewness is the product of the third higher moments of two assets.

Usage

CoSkewness( 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

CoS=sum((Ra-mean(Ra))(Ri-mean(Ri)^2))

Value

value of coskewness of Ri and Ra

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

Martellini L. and Ziemann V. 2005. Marginal Impacts on Portfolio Distributions. Working Paper, Edhec Risk and Asset Management Research Centre

See Also

BetaCoSkewness skewness

Examples






[Package PerformanceAnalytics version 0.9.5 Index]