Approximation and Simulation of Large Diversified Portfolios

大型多元化投资组合的逼近和模拟

• 批准号: DP0343913
• 负责人: Prof Eckhard Platen
• 金额: $ 15.69万
• 依托单位: University of Technology Sydney
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2003
• 资助国家: 澳大利亚
• 起止时间: 2003-01-23 至 2008-06-30
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP0343913
• 关键词: Approximation; Simulation; Large; Diversified; Portfolios

The measurement of risk for large diversified portfolios, consisting of primary securities and derivatives, will play a key role in future financial technology. Based on a new characterisation of asymptotic portfolios this project proposes the development, implementation and testing of highly efficient new approximate risk measurement methodologies suitable for portfolios with hundreds or thousands of instruments. Comparisons with standard and new simulation methods will demonstrate their superiority. The outcomes of this project will give Australian industry an internationally competitive advantage in the measurement and management of risk for large diversified portfolios such as those of superannuation funds and banks.

由初级证券和衍生品组成的大型多元化投资组合的风险测量将在未来的金融技术中发挥关键作用。基于渐近投资组合的新特征，本项目提出了适用于具有数百或数千种工具的投资组合的高效新的近似风险度量方法的开发，实施和测试。通过与标准仿真方法和新的仿真方法的比较，可以证明其优越性。该项目的成果将使澳大利亚工业在衡量和管理大型多元化投资组合（如养老金基金和银行）的风险方面具有国际竞争优势。