Timeline for How do I calculate the skewness of a portfolio of assets?
Current License: CC BY-SA 3.0
9 events
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| May 2, 2022 at 21:24 | comment | added | randomwalker | Can m3 be written in matrix form instead of nested summations? | |
| Apr 13, 2017 at 12:46 | history | edited | CommunityBot |
replaced http://quant.stackexchange.com/ with https://quant.stackexchange.com/
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| Aug 9, 2011 at 23:53 | comment | added | Derek Ploor | I've just taken a quick look. The differences in the correlations (co-moments) in that paper are that it presents an estimator that uses constant co-moments, which greatly reduces the dimensionality of the problem for large portfolios. | |
| Aug 9, 2011 at 17:46 | comment | added | Pasha | Thank you for your quick reply in this paper "improved estimates of higher-order comoments and implications for portfolio selection" by Lionel Martellini, Volker Ziemann as I understand they use correlations and calculate them differently...( if you just search the name of the paper in google it is second one offered by the google, sorry I don't now hot to cite paper in the comment. Regards, Pasha | |
| Aug 9, 2011 at 14:58 | comment | added | Derek Ploor | Correlations aren't needed explicitly, but come into play in calculating the m_2 moment. A covariance matrix is used to calculate the portfolio variance, sigma_p^2. Covariance_ij = Correlation_ij * sigma_i * sigma_j | |
| Aug 9, 2011 at 13:47 | comment | added | Pasha | One more thing what about correlations between assets? should they be considered in skewness of portfolio?? | |
| Aug 8, 2011 at 15:30 | comment | added | Pasha | Thank you it is really useful.. One difference in return calculation I calculated returns as R(t)= Ln(P(t)-ln(P(t-1)).. hope this will not affect overall result.. Thank you for your detailed explanation.. | |
| Aug 8, 2011 at 4:03 | history | edited | Derek Ploor | CC BY-SA 3.0 |
Updated answer to address further questions from the OP
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| Aug 2, 2011 at 12:48 | history | answered | Derek Ploor | CC BY-SA 3.0 |