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portfolioMom.m

version 1.0.0.0 (983 Bytes) by Christopher
Portfolio higher order co-moments

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Updated 15 Sep 2014

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Given a weights matrix, a multivariate time serie (contaning asset's returns) and the matrixes containing the higher order co-moments of the assets, the algorithm computes the calculation of higher order co-moments of the portfolio.

Cite As

Christopher (2021). portfolioMom.m (https://www.mathworks.com/matlabcentral/fileexchange/47842-portfoliomom-m), MATLAB Central File Exchange. Retrieved .

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MATLAB Release Compatibility
Created with R2011a
Compatible with any release
Platform Compatibility
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