pcaspers and outrun -- thank you very much. This is what I'm looking for. Shame on me, as I have come across coskew and cokurtosis before, but these didn't come to mind right away for some reason. But these are the exact metrics that I need.In a nutshell, I am trying to produce matrices which show the coskew and cokurtosis of pairs of assets and describe the degree of diversification benefit that any individual asset may truly bring to a portfolio. Since the joint distribution between two assets, described by correlation, is assumed to be distributed normally, the use of correlation in a standard mean-variance optimization could lead to suboptimal allocations if significant nonzero coskewness and cokurtosis existed across a wide range of pairings for the given list of constituent assets involved.Again, great thanks for putting me in the right direction.