Approximation and Simulation of Large Diversified Portfolios

由初级证券和衍生品组成的大型多元化投资组合的风险衡量，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，该项目建议开发、实施和测试适用于拥有数百或数千种工具的投资组合的高效新的近似风险衡量方法。与标准仿真方法和新的仿真方法的比较将证明它们的优越性。该项目的成果将使澳大利亚工业在衡量和管理养老金基金和银行等大型多元化投资组合的风险方面具有国际竞争优势。

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.