skew: Third centered moments

In bpfaff/mcrp: Multiple criteria risk parity optimization

Description

These functions relate to the computation of (co-)skewness (M3()), the portfolio skewness (pm3() and PortSkew()), the partial derivatives (dm3() and PortSkewDeriv()) and the contributions of the assets to skewness (cm3() and PortSkewContrib()).

Usage

M3(r)

pm3(r, w)

dm3(r, w)

cm3(r, w, percentage = TRUE)

PortSkew(r, w)

PortSkewDeriv(r, w)

PortSkewContrib(r, w, percentage = TRUE)

Arguments

r	matrix, a (T x N) array of returns.
w	numeric, a (N x 1) vector of portfolio weights.
percentage	logical, whether risk contributions are expressed as percentages.

Value

numeric

References

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.

Examples

data(MultiAsset)
MA <- as.timeSeries(MultiAsset[, 1:4])
r <- na.omit(diff(log(MA)) * 100)
N <- ncol(r)
w <- rep(1 / N, N) ## equal weight allocation
M3(r)
pm3(r, w)
dm3(r, w)

bpfaff/mcrp documentation built on May 13, 2019, 2:24 a.m.