highOrderPortfolios-package |
highOrderPortfolios: Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis |
design_MVSKtilting_portfolio_via_sample_moments |
Design high-order portfolio by tilting a given portfolio to the MVSK efficient frontier |
design_MVSK_portfolio_via_sample_moments |
Design high-order portfolio based on weighted linear combination of first four moments |
design_MVSK_portfolio_via_skew_t |
Design MVSK portfolio without shorting based on the parameters of generalized hyperbolic skew-t distribution |
estimate_sample_moments |
Estimate first four moment parameters of multivariate observations |
estimate_skew_t |
Estimate the parameters of skew-t distribution from multivariate observations |
eval_portfolio_moments |
Evaluate first four moments of a given portfolio |
X100 |
Synthetic 500x100 matrix dataset |
X200 |
Synthetic 1000x200 matrix dataset |
X50 |
Synthetic 250x50 matrix dataset |