cokurtosisMF: Cokurtosis Matrix Estimate

In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Cokurtosis Matrix Estimate

Description

Estimate cokurtosis matrix using a statistical factor model

Usage

cokurtosisMF(beta, stockM2, stockM4, factorM2, factorM4)

Arguments

beta	(N x k) matrix of factor loadings (i.e. the betas) from a statistical factor model
stockM2	vector of length N of the 2nd moment of the model residuals
stockM4	vector of length N of the 4th moment of the model residuals
factorM2	(k x k) matrix of the 2nd moment of the factor realizations from a statistical factor model
factorM4	(k x k^3) matrix of the 4th moment of the factor realizations from a statistical factor model

Details

This function estimates an (N x N^3) cokurtosis matrix from a statistical factor model with k factors, where N is the number of assets.

Value

(N x N^3) cokurtosis matrix

PortfolioAnalytics documentation built on April 4, 2025, 2:34 a.m.