Co Kurtosis. If Coefficient of Kurtosis is. Descriptive statistics give some sort of summary information about a data set or distribution.
If its a sample in needs to divide the sum by n. If the coefficient of kurtosis is larger than 3 then it means that the return distribution is inconsistent with the assumption of normality in other words large magnitude returns occur more frequently than a normal distribution. Even outside of the optimization problem measuring the co-moments should be a useful tool for evaluating whether or not an asset is likely to provide diversification potential to a portfolio not only in terms of normal risk ie.
Jan 14 2019 Kurtosis is derived from a transliteration of the Greek word kurtos.
This Greek word has the meaning arched. Kurtosis is a measure of whether the data are heavy-tailed or light-tailed relative to a normal distribution. Kraus and Litzenberger 1976. If its a sample in needs to divide the sum by n.
