[R-SIG-Finance] Higher Order Moment Portfolio

Brian G. Peterson brian at braverock.com
Wed Oct 10 01:32:42 CEST 2012

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.


    - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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