Description Details Author(s) References Examples
The Partial Moments package provides methods, both analytical and sample based, for calculating the partial moments of a distribution or dataset. Additionally, it provides for the calculation of symmetric multivariate couterparts and portfolio optimizer methods based on those.
Package: | pmoments |
Type: | Package |
Version: | 1.0 |
Date: | 2008-11-11 |
License: | GPL |
LazyLoad: | yes |
Depends: | methods |
For multivariate datasets, the user should start by calling the pmExpectation
, followed by pcmExpectation
and finally the pmSolver
for portfolio optimization (subject to constraints : see constraints
).
There is a relative amount of flexibility as to how the main function pmExpectation
is called and with what combination
of inputs. The user should go through the detailed examples. Additionally, the function psRisk
implements the family
of risk measures described in Pedersen and Satchell (1998), which among other interesting measures also subsumes partial moments.
Alexios Ghalanos
Stone, B. (1973), A General Class of Three-Parameter Risk Measures, Journal of Finance, 28, 675-685
Fishburn, P.C., Decision and Value Theory, 1964, Wiley, New York
Fishburn, P.C., Mean-Risk Analysis with Risk Associated with Below-Target Returns, 1977, American Economic Review, 67, 116-126
Nawrocki, David N. (1991), Optimal algorithms and lower partial moment: ex post results, Applied Economics, 23 (3), 465-70.
Farinelli, S. and Tibiletti, L. , Sharpe thinking in asset ranking with one-sided measures, European Journal of Operational Research
Volume 185, Issue 3, 16 March 2008, Pages 1542-1547.
Pedersen,C.S and Satchell,S.E (1998), An Extended Family of Financial-Risk Measures, The Geneva Papers on Risk and Insurance Theory,
23, 89<96>-117
1 2 3 4 5 6 7 8 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.