Modelling a portfolio of financial assets: structure, estimation, testing and forecasting [ 2002 - 2004 ]

Research Grant

[Cite as]

Researchers Prof M McAleer

Brief description Information regarding financial returns and risk is essential for optimal portfolio selection and asset management. Returns and risk have typically been analysed for individual assets. The project provides a theoretical solution to the important practical problem of modelling a portfolio of financial assets in realistic situations. The significance of the research is the development of a new approach to analyse a portfolio of returns and risk, and the determination of its applicability using numerical simulation techniques. The expected outcomes are an optimal practical method for analysing a portfolio of assets, a scientific monograph, and publications in leading international journals.

Funding Amount $272,373

Funding Scheme Discovery Projects

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