Description Usage Arguments Value References Examples
These functions relate to the computation of the kurtosis (M4()
),
the portfolio variance risk (pm4()
and PortKurt()
),
the partial derivatives (dm4()
and PortKurtDeriv()
) and
the risk contributions of the assets (cm4()
and PortKurtContrib()
).
1 2 3 4 5 6 7 8 9 10 11 12 13 | M4(r)
pm4(r, w)
dm4(r, w)
cm4(r, w, percentage = TRUE)
PortKurt(r, w)
PortKurtDeriv(r, w)
PortKurtContrib(r, w, percentage = TRUE)
|
r |
|
w |
|
percentage |
|
numeric
Boudt, K. and Peterson, B. and Croux, C. (2008/09), Estimation and decomposition of downside risk for portfolios with non-normal returns, The Journal of Risk, 11(2), Winter 2008/09, 79–103.
Jondeau, E. and Rockinger, M. (2006), Optimal portfolio allocation under higher moments, European Financial Management, 12(1), 29–55.
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