SkewnessKurtosisRatio: Skewness-Kurtosis ratio of the return distribution

Description Usage Arguments Details Author(s) References Examples

Description

Skewness-Kurtosis ratio is the division of Skewness by Kurtosis.

Usage

1

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

...

any other passthru parameters

Details

It is used in conjunction with the Sharpe ratio to rank portfolios. The higher the rate the better.

SkewnessKurtosisRatio(R, MAR) = S/K

where S is the skewness and K is the Kurtosis

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.100

Examples

1
2
3
4
5
6

guillermozbta/portafolio-master documentation built on May 11, 2019, 7:20 p.m.