[R-SIG-Finance] Multi-asset portfolio skewness&kurtosis formulae

[Brian G. Peterson]

aito araki wrote:
> I do face some difficulties trying to set up a mean-modified-VaR
> optimization in excel, using the SOLVER function. I use a parametric
> approach in calculating the MVaR and the cornish-fisher expansion to account
> for skewness and leptokurtosis. So far i just could not find any general
> formula to calculate the  s&k on a portfolio level only the well known
> formulae for individual assets. Does anyone know how i can calculate the s&k
> for the portfolio that enter my MVaR measure?
>
> I would very much appreciate some advice from anyone familiar with this..
>
> Thanks a lot!
>   
This is a list for R in finance, not Excel in finance.  As such, I am 
happy to report that the functions you need are all available in the R 
package PerformanceAnalytics.

You can find all the formulae and proofs in our paper:

/Estimation and Decomposition of Downside Risk for Portfolios with 
Non-normal Returns/. Kris Boudt and Brian Peterson and Christophe Croux. 
Journal of Risk. Winter 2008 11(2) **p. 79-103.


Regards,

   - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock