Four Moment Resampling Inputs

Since a normal or t distribution doesn't approximate all asset return distributions equally well (e.g. hedge funds), the Optimizer offers non-normal distribution. If you enable four moment resampling in the Options Menu, Skew and Kurtosis Columns appear on the Inputs Worksheet, and the Optimizer uses a multivariate distribution for resampling that matches these higher moments. Keep in mind that it is not possible for assets with significantly different kurtosis to be highly correlated; if the correlation matrix is incompatible with the given kurtosis and skewness, the Optimizer adjusts the correlation matrix as needed.  

For details on New Frontier's approach to non-normal optimizations, access "Non-Normality Facts and Fallacies" and other articles from our website (www.newfrontieradvisors.com).