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!

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