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

David Lüthi luethid at gmail.com
Tue Mar 31 19:54:13 CEST 2009

Dear Aito

If you want to tackle your problem in a fully parametric way you might
also consider to use the package 'ghyp'.

This package provides code to fit a multivariate generalized
hyperbolic distribution (or one of its many special cases) which
allows for skewness and excess-kurtosis to your return series and
subsequently use 'portfolio.optimize' to optimize the portfolio with
respect to different risk-measures as VaR, Conditional VaR, and variance.

Best regards,
David Lüthi

aito araki wrote:
> Hi everyone,
> 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!
> 	[[alternative HTML version deleted]]
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.

More information about the R-SIG-Finance mailing list