[R-SIG-Finance] Higher Order Moment Portfolio

[Brian G. Peterson]

On 10/09/2012 06:24 PM, nserdar wrote:
> Please let me know any codes about "higher Order Moment Portfolio
> Optimisation" in R

R package 'PerformanceAnalytics' can calculate all the higher order 
moments and co-moments.

packages 'PortfolioAnalytics' and 'Meucci' can optimize arbitrary 
objective functions using these higher moments.

Regards,

    - Brian


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Brian G. Peterson
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