CoSkewness {PerformanceAnalytics} | R Documentation

## calculate the co-moment for skewness of two assets

### Description

CoSkewness is the product of the third higher moments of two assets.

### 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=sum((Ra-mean(Ra))(Ri-mean(Ri)^2))`

### Value

value of coskewness of Ri and Ra

### 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. Equation [5] p. 10

Martellini L. and Ziemann V. 2005. Marginal Impacts on Portfolio Distributions. Working Paper, Edhec Risk and Asset Management Research Centre

### See Also

`BetaCoSkewness` `skewness`

### Examples

[Package PerformanceAnalytics version 0.9.5 Index]