MANAGING AND MODELLING RISK AND COMPLEXITY IN THE INVESTMENT AND HEDGE FUNDS INDUSTRY

投资和对冲基金行业的风险和复杂性管理和建模

• 批准号: DP0451810
• 负责人: Prof Timothy Brailsford
• 金额: $ 19.09万
• 依托单位: The University of Queensland
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2004
• 资助国家: 澳大利亚
• 起止时间: 2004-01-01 至 2006-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP0451810
• 关键词: MANAGING; MODELLING; RISK; COMPLEXITY; INVESTMENT

The project will develop an evolutionary learning algorithm for modeling non-linear financial asset price movements and conduct simulations to gain a better understanding of price formation in securities markets with a focus on the equity market. We will focus on extreme market conditions to calibrate the benefits and efficiency of risk management techniques. The models will be applied to benchmarking and evaluating portfolio decisions of hedge funds; investment risk management and dynamic portfolio selection strategies. The research will result in new theoretical approaches and empirical methods to study price movements and evaluate fund performance.

该项目将开发一种用于模拟非线性金融资产价格变动的进化学习算法，并进行模拟，以更好地了解证券市场的价格形成，重点是股票市场。我们将专注于极端市场条件，以校准风险管理技术的效益和效率。这些模型将被应用于衡量和评估对冲基金的投资组合决策、投资风险管理和动态投资组合选择策略。该研究将为研究价格变动和评价基金业绩提供新的理论方法和实证方法。