Alexander Moreno wrote:
Is there any R canned package which will optimize a portfolio using all four moments? Or are LPM, CVaR, and VaR optimization the best one can do in R ( i.e. no Kurtosis)?
Try package ghyp where you can fit a generalized hyerbolic distribution (which is able to describe skewed and leptocurtic behaviour) to multivariate return data and optimize a portfolio with respect to the variance, VaR or CVaR. Best regards, David P.s.: A new version of ghyp is on the way to CRAN.