Optimizing Optimization: The Next Generation of Optimization Applications and Theory (Quantitative Finance)

108 Optimizing Optimization

Table 4.3 Higher moments of hedge funds

Equity hedge Skewness Kurtosis JB test

1  0.25 4.98 Failed
2  0.14 3.61 Passed
3  0.34 4.69 Failed
4 0.43 4.77 Failed
5 0.07 5.32 Failed
6 0.00 4.75 Failed
7 1.12 8.23 Failed
8  0.77 4.73 Failed
9  0.70 5.13 Failed
10  0.42 3.70 Passed
11 0.38 2.93 Passed
12 0.27 4.23 Failed
13 3.40 26.91 Failed
14  .087 6.33 Failed
15  0.15 3.36 Passed
16  0.17 6.35 Failed
17  0.02 5.46 Failed
18 0.49 6.35 Failed
19  0.42 6.46 Failed
20  0.22 5.72 Failed
21 1.08 7.36 Failed
22 0.56 4.08 Failed
23 0.36 3.46 Passed
24 0.91 8.70 Failed
25 0.10 5.01 Failed

Convertible arbitrage Skewness Kurtosis

1  0.45 3.79 Failed
2  0.39 6.07 Failed
3  0.84 6.22 Failed
4  0.11 4.08 Passed
5  0.35 4.78 Failed
6 0.19 4.44 Failed
7  0.65 5.04 Failed
8  0.60 5.25 Failed
9  1.52 5.83 Failed
10  1.34 8.72 Failed

Event driven Skewness Kurtosis JB test

1  1.00 7.60 Failed
2 0.00 4.18 Failed
3 1.43 14.72 Failed
4 0.91 6.87 Failed
5  1.72 8.89 Failed
(Continued )