i*****r
发帖数: 1302 | | i*****r
发帖数: 1302 | 2 还有为啥n=4的时候,coskewness 是4*16的matrix? | l*******G
发帖数: 1191 | 3 Description
CoSkewness is the product of the third higher moments of two assets.
Alias
CoSkewness
Keyword
ts, multivariate, distribution, models
Usage
CoSkewness( Ra, Ri, na.rm = FALSE )
Arguments
Ra return vector of asset being considered for addition to portfolio
Ri return vector of initial portfolio
na.rm TRUE/FALSE Remove NA's from the returns?
Details
CoS_{a,b}=sum((R_{a}-bar{R_{a}})(R_{i}-bar{R_{i}})^{2})
Value
value of coskewness of Ri and Ra
Note
Author(s)
Brian G. Peters | l*******G
发帖数: 1191 | 4 Description
CoKurtosis is the product of the fourth higher moments of two assets.
Alias
CoKurtosis
Keyword
ts, multivariate, distribution, models
Usage
CoKurtosis( Ra, Ri, na.rm = FALSE )
Arguments
Ra return vector of asset being considered for addition to portfolio
Ri return vector of initial portfolio
na.rm TRUE/FALSE Remove NA's from the returns?
Details
CoK_{a,b}=sum((R_{a}-bar{R_{a}})(R_{i}-bar{R_{i}})^{3})
Value
value of cokurtosis of Ri and Ra | i*****r
发帖数: 1302 | 5 CoS_{a,b}=sum((R_{a}-bar{R_{a}})(R_{i}-bar{R_{i}})^{2})
个问题:
1: 分母为啥没有sigma^3? skewness的公式有分母的.如果有分母是a^2*i还是i^2*a?
2: 确为啥不是sum((R_{a}-bar{R_{a}})^2(R_{i}-bar{R_{i}}))?
【在 l*******G 的大作中提到】
: Description
: CoKurtosis is the product of the fourth higher moments of two assets.
: Alias
: CoKurtosis
: Keyword
: ts, multivariate, distribution, models
: Usage
: CoKurtosis( Ra, Ri, na.rm = FALSE )
: Arguments
: Ra return vector of asset being considered for addition to portfolio
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