The skewness tag has no wiki summary.
11
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3answers
768 views
9
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2answers
453 views
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 ...
9
votes
2answers
1k views
How do I calculate the skewness of a portfolio of assets?
I need to calculate the skewness of a portfolio consisting of 6 assets. I know that for that I would need the co-skewness matrix between the assets. Does anybody know the formula for co-skewness or ...
3
votes
2answers
325 views
Distribution for High Kurtosis
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 ...
3
votes
1answer
820 views
How to annualize skewness and kurtosis based on daily returns
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 ...
2
votes
2answers
2k views
Calculating Portfolio Skewness & Kurtosis
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 ...
1
vote
1answer
315 views
derivation of formula for portfolio skewness and kurtosis
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 ...
