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

[Lüthi David (luda)]

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,
David

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