coskewnessSF: Coskewness Matrix Estimate
In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios
Description
Usage
Arguments
Details
Value
Description
Estimate coskewness matrix using a single factor statistical factor model
Usage
1
coskewnessSF(beta, stockM3, factorM3)
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
stockM3
vector of length N of the 3rd moment of the model residuals
factorM3
scalar of the 3rd moment of the factor realizations from a
single factor statistical factor model
Details
This function estimates an (N x N^2) coskewness matrix from a single factor
statistical factor model with k=1 factors, where N is the number of assets.
Value
(N x N^2) coskewness matrix
PortfolioAnalytics documentation built on May 2, 2019, 6:12 p.m.
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Description Usage Arguments Details Value
Description
Estimate coskewness matrix using a single factor statistical factor model
Usage
1 | coskewnessSF(beta, stockM3, factorM3)
|
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 |
stockM3 |
vector of length N of the 3rd moment of the model residuals |
factorM3 |
scalar of the 3rd moment of the factor realizations from a single factor statistical factor model |
Details
This function estimates an (N x N^2) coskewness matrix from a single factor statistical factor model with k=1 factors, where N is the number of assets.
Value
(N x N^2) coskewness matrix
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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