Problem 3074. Compute the cokurtosis of a given portfolio.

Solution 2245340

Submitted on 30 Apr 2020 by bainhome

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Test	Status	Code Input and Output
1	Pass	rng('default') R = randn(504, 5); w = ones(5, 1)/5; assert(abs(computePortCokurt(R, w)-0.119749008958925)<1e-3)
2	Pass	rng('default') R = randn(252, 15); w = ones(15, 1)/15; assert(abs(computePortCokurt(R, w)-0.013012357540290)<1e-3)
3	Pass	rng('default') R = randn(100, 1); w = 1; assert(abs(computePortCokurt(R, w)-6.280759230562035)<1e-3)
4	Pass	rng('default') R = randn(5, 10); w = [0.1*ones(5, 1); 0.5; zeros(4, 1)]; assert(abs(computePortCokurt(R, w)-0.169198885214440)<1e-3)