BetaCoKurtosis {PerformanceAnalytics} | R Documentation

## systematic kurtosis of an asset to the initial portfolio

### Description

Beta CoKurtosis is the beta of an asset to the kurtosis of an initial portfolio. Used to determine diversification potential. Also called "systematic kurtosis" or "systematic cokurtosis" by several papers.

### Usage

    BetaCoKurtosis( Ra, Ri, na.rm = FALSE, method = c("moment", "excess", "fisher"))

### 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?
`method` | method to use when computing `kurtosis` one of: `excess`, `moment`, `fisher`

### Details

K_{a,b}=frac{CoK_{a,b}}{S_{a}}=frac{sum((R_{a}-bar{R_{a}})(R_{b}-bar{R_{b}})^{3})}{sum(R_{a}-bar{R_{a}})^{4}}{BCoK(Ra,Rb)=CoK(Ra,Rb)/kurtosis(Ra)}

### Value

systematic kurtosis of two assets

### Note

### Author(s)

Brian G. Peterson

### References

Martellini L., Vaissie M., Ziemann V., October 2005. Investing in Hedge Funds: Adding Value through Active Style Allocation Decisions. Edhec Risk and Asset Management Research Centre

### See Also

`CoKurtosis` `kurtosis`

### Examples

[Package PerformanceAnalytics version 0.9.5 Index]