cokurtosisSF: Cokurtosis Matrix Estimate

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

Cokurtosis Matrix Estimate

Description

Estimate cokurtosis matrix using a single factor statistical factor model

Usage

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

Arguments

beta	vector of length N or (N x 1) matrix of factor loadings (i.e. the betas) from a single factor 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	scalar of the 2nd moment of the factor realizations from a single factor statistical factor model
factorM4	scalar of the 4th moment of the factor realizations from a single factor 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

braverock/PortfolioAnalytics documentation built on April 18, 2024, 4:09 a.m.