CoSkewness       package:PerformanceAnalytics       R Documentation

_c_a_l_c_u_l_a_t_e _t_h_e _c_o-_m_o_m_e_n_t _f_o_r _s_k_e_w_n_e_s_s _o_f _t_w_o _a_s_s_e_t_s

_D_e_s_c_r_i_p_t_i_o_n:

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

_U_s_a_g_e:

     CoSkewness( Ra, Ri, na.rm = FALSE )

_A_r_g_u_m_e_n_t_s:

      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? 

_D_e_t_a_i_l_s:


               'CoS=sum((Ra-mean(Ra))(Ri-mean(Ri)^2))'

_V_a_l_u_e:

     value of coskewness of Ri and Ra

_N_o_t_e:

_A_u_t_h_o_r(_s):

     Brian G. Peterson

_R_e_f_e_r_e_n_c_e_s:

     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

_S_e_e _A_l_s_o:

     'BetaCoSkewness' 'skewness'

_E_x_a_m_p_l_e_s:

