I'm trying to annualize the four moments based on a string of daily returns (continuously compounded) for 11 years. The formulas for the annualization of the mean and the standard deviation I did ...
Where can I find derivation of formula for portfolio skewness and kurtosis? I can find formulas everywhere, but not their derivations? For example, the portfolio variance formula is well known and I ...
Can you please advise which distribution to follow when your skewness is 0.28 and Kurtosis value is 51. Since it's leptokurtic and positively skewed I would like to fit distribution and also wanted to ...
I need to calculate the skewness and kurtosis of 2 asset portfolio, can someone please help me with the formulas and definition of terms? Thank you. I have been using the matrices method and I am not ...
What is the relationship between risk aversion and preference for skewness and kurtosis in portfolio optimization?
Is there any relationship between the risk aversion coefficient in an individual's utility function (commonly used in portfolio optimization) and the preference for higher moments such as skewness and ...