Alright, thank you Brian.

Best,
aito

2009/3/31 Brian G. Peterson <brian@braverock.com>

> 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
>
>
>

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