Hot answers tagged


Maybe you like working with coskewness. But it is not needed if you just want to estimate the skewness of the portfolio. If you have retunr times serise $(r^i_t)_{t=1}^T$ for each asset $i$ and the weights $w_i$ that these assets have in your portfolio then you can form $$ r_t = \sum_{i=1}^6 w_i r^i_t \quad \text{for each } t, $$ and you simple estimate all ...

Only top voted, non community-wiki answers of a minimum length are eligible