cokurtosisMF: Cokurtosis Matrix Estimate

In R-Finance/PortfolioAnalytics: Portfolio Analysis, including Numerical Methods for Optimization of Portfolios

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

R-Finance/PortfolioAnalytics documentation built on May 8, 2019, 4:46 a.m.