| Return.centered {PerformanceAnalytics} | R Documentation |
the n-th centered moment is calculated as
moment^n(R) = E[R-E(R)^n]
These functions are used internally by PerformanceAnalytics to calculate centered moments for a multivariate distribution as well as the standardized moments of a portfolio distribution. They are exposed here for users who wish to use them directly, and we'll get more documentation written when we can.
centeredcomoment (Ra, Rb, p1, p2, normalize = FALSE) centeredmoment (R, power) Return.centered (R, ...)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Ra |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rb |
an xts, vector, matrix, data frame, timeSeries or zoo object of index, benchmark, portfolio, or secondary asset returns to compare against |
power |
power or moment to calculate |
p1 |
first power of the comoment |
p2 |
second power of the comoment |
normalize |
whether to standardize the calculation to agree with common usage, or leave the default mathematical meaning |
... |
any other passthru parameters |
These functions were first utilized in Boudt, Peterson, and Croux (2008), and have been subsequently used in our other research.
~~ Additional Details will be added to documentation as soon as we have time to write them. ~~
Kris Boudt and Brian Peterson
Boudt, Kris, Brian G. Peterson, and Christophe Croux. 2008. Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns. Journal of Risk. Winter.
Martellini, Lionel, and Volker Ziemann. 2007. Improved Forecasts of Higher-Order Comoments and Implications for Portfolio Selection. EDHEC Risk and Asset Management Research Centre working paper.
Ranaldo, Angelo, and Laurent Favre Sr. 2005. How to Price Hedge Funds: From Two- to Four-Moment CAPM. SSRN eLibrary.
Scott, Robert C., and Philip A. Horvath. 1980. On the Direction of Preference for Moments of Higher Order than the Variance. Journal of Finance 35(4):915-919.
data(managers) Return.centered(managers[,1:3,drop=FALSE])