A Wavelet Multiscaling Approach to Multifactor Asset Pricing Models

风险和回报是商业决策背后的两个基本概念，每天涉及数百万美元。即使对于上市公司来说，风险也很难衡量，特别是在做出决策的时间维度定义不明确的情况下--这可能导致次优决策。这个项目通过开发一种创新的方法(基于小波多尺度)来提高我们对风险和回报的理解，从而专注于时间尺度问题。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卓越的全球多元化投资组合-从而带来可观的长期经济效益。

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.