Portfolio higher order co-moments in matlab

The following Matlab project contains the source code and Matlab examples used for portfolio higher order co-moments . Given a weights matrix, a multivariate time serie (contaning asset's returns) and the matrixes containing the higher order co-moments of the assets, the algorithm computes the calculation of higher order co-moments of the portfolio.

The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.

Project Files: 

File NameSize
license.txt 1311
portfolioMom.m 983

SocialTags: