Approximation and Simulation of Large Diversified Portfolios

大型多元化港口的近似与模拟。由主要证券和衍生品组成的大型多元化投资组合的风险度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，该项目提出了适用于数百或数千种工具的投资组合的高效新近似风险度量方法的开发，实施和测试。与标准和新的模拟方法的比较将证明其优越性。该项目的成果将使澳大利亚工业在诸如退休基金和银行等大型多元化投资组合的风险计量和管理方面具有国际竞争优势。

Approximation and Simulation of 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.