Wednesday, February 3, 2016

time series - How do I calculate the skewness of a portfolio of assets?


I need to calculate the skewness of a portfolio consisting of 6 assets. I know that for that I would need the co-skewness matrix between the assets. Does anybody know the formula for co-skewness or any simple software to calculate a co-skewness matrix?


Any useful information would be highly appreciated.




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