A Wavelet Multiscaling Approach to Multifactor Asset Pricing Models

多因素资产定价模型的小波多尺度方法

• 批准号: DP0557172
• 负责人: Prof Francis In
• 金额: $ 8.52万
• 依托单位: Monash University
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2005
• 资助国家: 澳大利亚
• 起止时间: 2005-01-01 至 2007-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP0557172
• 关键词: Wavelet; Multiscaling; Approach; Multifactor; Asset

Risk and return are two fundamental concepts underlying business decisions involving $millions daily. Even for publicly listed companies risk is difficult to measure, particularly when the time dimension over which decisions are being made is ill-defined - potentially leading to sub-optimal decisions. This project focuses on the time scale question by developing an innovative methodology (based on wavelet multiscaling) that improves our understanding of risk and return. The project will help enhance risk control, and provide improved tools and knowledge to aid formation of superior globally diversified portfolios over different time scales - thereby delivering considerable long-term economic benefits.

风险和回报是两个基本的概念背后的商业决策涉及数百万美元的日常。即使是上市公司的风险也很难衡量，特别是当决策的时间维度定义不清时，可能导致次优决策。这个项目的重点是时间尺度问题，通过开发一种创新的方法（基于小波多尺度），提高我们对风险和回报的理解。该项目将有助于加强风险控制，并提供改进的工具和知识，以帮助在不同的时间范围内形成上级全球多元化投资组合，从而带来可观的长期经济效益。