[R-SIG-Finance] WG: portfolio optimization using higher moments

Lüthi David (luda) luda at zhaw.ch
Mon Sep 17 17:16:38 CEST 2007

Alexander Moreno wrote:
> Is there any R canned package which will optimize a portfolio using 
> all four moments?  Or are LPM, CVaR, and VaR optimization the best one 
> can do in R ( i.e. no Kurtosis)?

Try package ghyp where you can fit a generalized hyerbolic distribution (which is able to describe skewed and leptocurtic behaviour) to multivariate return data and optimize a portfolio with respect to the variance, VaR or CVaR. 

Best regards,

P.s.: A new version of ghyp is on the way to CRAN.

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