Tag Archives: predictability
Further adventures with higher moments
Additional views of the stability of skewness and kurtosis of equity portfolios. Previously A post called “Four moments of portfolios” introduced the idea of looking at the stability of the mean, variance, skewness and kurtosis of portfolios through time. That post gave birth to a presentation at the London Quant Group. That talk gave birth … Continue reading
Four moments of portfolios
What good are the skewness and kurtosis of portfolios? Previously The post “Cross-sectional skewness and kurtosis: stocks and portfolios” looked at skewness and kurtosis in portfolios. The key difference between that post and this one is what distribution is being looked at. The previous post specified a single time and looked at the distribution across … Continue reading
