Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection

Martellini, L., & Ziemann, V. (2010). Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection. Portfolio, 23(4), 1467-1502.

Type

Journal article

Intellectual base

Primary research

Year

2010

DOI

10.1093/rfs/hhp099

Link

https://doi.org/10.1093/rfs/hhp099

Cited by

1 citation across 1 artifact.

Domain-specific

• Cokurtosis
  • … identity gives \(K(X,X,Y,Y)=1+2\rho^2\) and \(K(X,X,X,Y)=K(X,Y,Y,Y)=3\rho\). to For a portfolio return \(R=w^{\mathsf T}X\), its fourth central moment expands as \(\sum_{i,j,k,l}w_iw_jw_kw_l\,E[x_ix_jx_kx_l]\), so the cokurtosis tensor contributes to portfolio tail-shape calculations. demonstrates that continuity.

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