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Hard · portfolio_optimization · Quant Researcher interview question · coskewness, higher_moments, portfolio_optimization, tensor, risk_modeling
Mean-variance optimisation often overlooks higher moments, despite well-documented investor preferences for positive skewness, indicating a desire for portfolios that co-move favourably in tail events. The standardised coskewness matrix quantifies these crucial third-moment interactions across assets, making it an essential tool for advanced higher-moment portfolio optimisation strategies. Task Implement the function coskewness_matrix(returns: list) -> list that computes the standardised coskew