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  3. Introduction to Portfolio Risk Management in Python

Exercise

Fourth moment: Kurtosis

Finally, to calculate the fourth moment of a distribution, you can use the kurtosis() function from scipy.stats.

Note that this function actually returns the excess kurtosis, not the 4th moment itself. In order to calculate kurtosis, simply add 3 to the excess kurtosis returned by kurtosis().

clean_returns from the previous exercise is available in your workspace.

Instructions

100 XP
  • Import kurtosis from scipy.stats.
  • Use clean_returns to calculate the excess_kurtosis.
  • Derive the fourth_moment from excess_kurtosis.