User Name Remember Me? Password

 Economics Economics Forum - Financial Mathematics, Econometrics, Operations Research, Mathematical Finance, Computational Finance

 May 6th, 2013, 01:18 AM #1 Newbie   Joined: May 2013 Posts: 1 Thanks: 0 Computing the Co-Skewness matrix Dear all, I want to compute the skewness of a portfolio. By reading loads of literature, I found that the formula of computing the skewness of portfolio is as following: skewness_p=?' M3 (???) where M3=E[(r-?) (r-?)'?(r-?)']={aijk} the ? is the weight vector, the ? denote the kronecker product, M3 is the co-skewness matrix, and r and u are the TxN return matrix and TxN average return matrix, respectively. However, I don't know how to decompose the expectation of the co-skewness matrix M3, thus I found a alternative way to calculate the M3, that's: The co-skewness matrix of M3 of dimensions (N,N*N) can be represented by N Aijk matrixes (N,N) such that: M3=[ A1jk A1jk ... ANjk ] where j,k=1,�,N as well as for an index i. The individual elements of the matrix can be obtained as: aijk=(1/T?1)?i,j,k?t [(Kt,i??i)(Kt,j??j)(Kt,k??k)]. the capital K denote the element in the TxN return matrix, T is the number of observations and N is the number of assets. But my major object is to program it in software. If I do it element by element, it will cost me several years to finish...Thus, I want to ask does anyone know how to decompose the expectation of M3 matrix? that's M3=E[(r-?) (r-?)'?(r-?)']? I reaally reaaly appreciate your help! May 6th, 2013, 01:44 AM #2 Senior Member   Joined: Jul 2010 From: St. Augustine, FL., U.S.A.'s oldest city Posts: 12,211 Thanks: 521 Math Focus: Calculus/ODEs Re: Computing the Co-Skewness matrix Please post a topic only once. Otherwise, it is redundant and could possibly lead to the duplication of efforts of the part of our contributors whose time is valuable. March 2nd, 2014, 01:58 PM #3 Newbie   Joined: Mar 2014 Posts: 1 Thanks: 0 Re: Computing the Co-Skewness matrix For an Excel and VBA implementation with open source code see https://www.academia.edu/1873921/Por...s_matrices_VBA Tags computing, coskewness, matrix Search tags for this page

,

,

,

,

### coskewness in excel

Click on a term to search for related topics.
 Thread Tools Show Printable Version Email this Page Display Modes Linear Mode Switch to Hybrid Mode Switch to Threaded Mode Similar Threads Thread Thread Starter Forum Replies Last Post Aqil Advanced Statistics 0 May 19th, 2012 12:04 PM Aqil Advanced Statistics 10 April 14th, 2012 09:19 PM Marvin Courrier Advanced Statistics 3 November 23rd, 2011 04:38 AM prashantakerkar Algebra 6 November 15th, 2011 10:49 PM forcesofodin Linear Algebra 3 April 16th, 2010 12:30 PM

 Contact - Home - Forums - Cryptocurrency Forum - Top

Copyright © 2019 My Math Forum. All rights reserved.      