moment.fourth {PerformanceAnalytics} | R Documentation |
The fourth mathematical moment of the return function. Favre and Renaldo use this as separate from kurtosis in developing a four-moment CAPM model.
moment.fourth(R, na.rm = FALSE)
R |
return vector of the portfolio |
na.rm |
TRUE/FALSE Remove NA's from the returns? |
fourth mathematical moment of the distribution
Brian G. Peterson
Favre, L. and Renaldo, A. How to Price Hedge Funds: From Two- to Four-Moment CAPM. October 2003. UBS and Edhec Business School.