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