Dynamic Asset Pricing and Portfolio Decision Rules under Heterogeneous Expectations and Adaptive Learning. The outcomes of this project will provide two benefits to Australian financial market researchers in academe, in industry and financial market regulators. First, a better theoretical and empirical foundation for understanding and analysing optimal portfolio decision rules in a setting that captures many realistic features of market behaviour such as heterogeneity of investor types and adapt ....Dynamic Asset Pricing and Portfolio Decision Rules under Heterogeneous Expectations and Adaptive Learning. The outcomes of this project will provide two benefits to Australian financial market researchers in academe, in industry and financial market regulators. First, a better theoretical and empirical foundation for understanding and analysing optimal portfolio decision rules in a setting that captures many realistic features of market behaviour such as heterogeneity of investor types and adaptive behaviour by market participants. Second, new tools to more effectively understand and manage portfolio risk in financial markets. Consequently Australia will have a more efficient and competitive financial system. It also has the potential to lead to the development of more finance related industries such as financial market software.Read moreRead less
Building Financial Literacy and Retirement Savings Engagement by Developing a Financial Education Programme for the Workplace. To limit the drain on the federal budget as the population ages government have introduced compulsory superannuation; making individuals responsible for a significant proportion of their own retirement income. Employees are able to choose both their superannuation fund and investment mix. These are complex decisions which require a significant level of financial literacy ....Building Financial Literacy and Retirement Savings Engagement by Developing a Financial Education Programme for the Workplace. To limit the drain on the federal budget as the population ages government have introduced compulsory superannuation; making individuals responsible for a significant proportion of their own retirement income. Employees are able to choose both their superannuation fund and investment mix. These are complex decisions which require a significant level of financial literacy. Failure to make appropriate decisions can significantly reduce wealth at retirement leading to a greater reliance on the age pension. Results from this project will inform government, employers and superannuation funds about the role of financial education in improving financial literacy and hence retirement savings decision making.Read moreRead less
Superannuation Funds: Ensuring the Financial Health of Australians in Retirement. Superannuation is relevant to all Australians, providing a foundation for their lifestyle in retirement. The protection and enhancement of superannuation savings have been high priorities of both government and regulatory agencies. Recent legislative changes include mandated choice of superannuation fund and increased disclosure requirements. Regulators have also flagged the need for increased corporate governance ....Superannuation Funds: Ensuring the Financial Health of Australians in Retirement. Superannuation is relevant to all Australians, providing a foundation for their lifestyle in retirement. The protection and enhancement of superannuation savings have been high priorities of both government and regulatory agencies. Recent legislative changes include mandated choice of superannuation fund and increased disclosure requirements. Regulators have also flagged the need for increased corporate governance among superannuation funds. This project assesses the impact of these developments through an assessment of competition, performance and accountability within the superannuation industry. Monitoring the industry in this way will strongly contribute to the financial and economic health of Australians in retirement.
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Debt-for-development Exchanges as a Means to Enhance the Security of Australia and the Region. When Australia currently cancels debts owed to it by poor countries it has little control over how the money saved will be spent. Debt-for-development exchanges offer Australia this control while preserving the sovereignty of the recipient countries. Yet Australia has never undertaken an exchange.
Seven other nations have used this technique effectively to achieve developmental ends. We will analy ....Debt-for-development Exchanges as a Means to Enhance the Security of Australia and the Region. When Australia currently cancels debts owed to it by poor countries it has little control over how the money saved will be spent. Debt-for-development exchanges offer Australia this control while preserving the sovereignty of the recipient countries. Yet Australia has never undertaken an exchange.
Seven other nations have used this technique effectively to achieve developmental ends. We will analyse their experiences to provide a road map for Australia to use this technique to achieve security-enhancing and developmental outcomes.
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New valuation and parallel simulation methods for finance and insurance. Many Australians have superannuation savings and hold life insurance contracts. Hence, the price and risk of these investments is of particular importance to the welfare of Australia. The proposed research will improve the financial security of Australians by demonstrating that many long term insurance and superannuation products require far less capital than currently suggested. This project will provide path breaking fron ....New valuation and parallel simulation methods for finance and insurance. Many Australians have superannuation savings and hold life insurance contracts. Hence, the price and risk of these investments is of particular importance to the welfare of Australia. The proposed research will improve the financial security of Australians by demonstrating that many long term insurance and superannuation products require far less capital than currently suggested. This project will provide path breaking frontier technology for enhancing the performance of superannuation funds, insurance companies and banks, giving these Australian institutions a competitive advantage. An additional outcome will be global growth for sectors of Australia's IT industry, developing related software and tailored hardware.
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Pricing and Hedging Extreme Maturity Contracts. Most Australians belong to superannuation schemes. Hence, the long term performance and risk of these investments is of particular importance to the welfare of Australia. This research will improve the life-long financial security of Australians by clearly demonstrating that many superannuation targets can be achieved with less capital than currently suggested. This project will provide new technology for enhancing the long term performance of sup ....Pricing and Hedging Extreme Maturity Contracts. Most Australians belong to superannuation schemes. Hence, the long term performance and risk of these investments is of particular importance to the welfare of Australia. This research will improve the life-long financial security of Australians by clearly demonstrating that many superannuation targets can be achieved with less capital than currently suggested. This project will provide new technology for enhancing the long term performance of superannuation funds, managed funds, investment banks and insurance companies, giving these Australian institutions a competitive advantage and permitting them to offer innovative financial products to mitigate extreme maturity financial risk in retirement.Read moreRead less
Floor trading versus computer trading - Does it matter? Computer systems for securities trading date from the 1980s. These systems are large, costly and extremely complex. Outcomes from their introduction were unforeseen and the relevant research literature is sparse. This project will investigate experimentally with a simulated trading system the effects on trading behaviour of important system parameters. Intelligent support systems for traders will also be developed and tested. The project ....Floor trading versus computer trading - Does it matter? Computer systems for securities trading date from the 1980s. These systems are large, costly and extremely complex. Outcomes from their introduction were unforeseen and the relevant research literature is sparse. This project will investigate experimentally with a simulated trading system the effects on trading behaviour of important system parameters. Intelligent support systems for traders will also be developed and tested. The project team combines needed expertise from the areas of human decision making, finance, and advanced information technologies. Results will be important for theory of market microstructure and interactive intelligent systems and also for an important industry in Australia.Read moreRead less
The Ethics of Socially Responsible Investment (SRI). This project investigates the ethical credentials of ethical investment - also known as Socially Responsible Investment (SRI) - in Australia. It will examine problems with SRI operations (such as screening, application of decision-making criteria and compliance monitoring) from the perspective of ethical theory; issues of shareholder advocacy; and the clash of ethical and fiduciary responsibility. It aims to make SRI more effective in connec ....The Ethics of Socially Responsible Investment (SRI). This project investigates the ethical credentials of ethical investment - also known as Socially Responsible Investment (SRI) - in Australia. It will examine problems with SRI operations (such as screening, application of decision-making criteria and compliance monitoring) from the perspective of ethical theory; issues of shareholder advocacy; and the clash of ethical and fiduciary responsibility. It aims to make SRI more effective in connecting investors? values to their investments by developing tools for SRI fund managers to exercise more sophisticated forms of ethical reasoning and decision making. This project opens up possibilities of significant transformation of capital markets within Australia.Read moreRead less
The Determinants and Impacts of Analyst Activity in Australian Equity Markets. Deep and liquid markets are essential ingredients to a well functioning capital market, and can assist in capital formation and the growth of firms. A rich information environment is in turn necessary to ensure liquidity and the minimisation of cost of capital. A greater understanding of what promotes a rich information environment, specifically through the activity of financial analysts, will assist in formulation ....The Determinants and Impacts of Analyst Activity in Australian Equity Markets. Deep and liquid markets are essential ingredients to a well functioning capital market, and can assist in capital formation and the growth of firms. A rich information environment is in turn necessary to ensure liquidity and the minimisation of cost of capital. A greater understanding of what promotes a rich information environment, specifically through the activity of financial analysts, will assist in formulation of policies at both the Australian Stock Exchange and individual company level, and indeed at the government level given Federal and State Government initiatives to encourage the growth of corporate Australia.Read moreRead less
New models and valuation methods for portfolio credit derivatives. Portfolio credit derivatives provide a mechanism to simultaneously transfer credit exposures to a large number of counterparties within a single transaction. However, no generally accepted valuation model for such credit portfolios is currently available. This project aims to develop new mathematically-based technologies to allow institutions such as Westpac (the Industry Partner) to optimally manage their credit exposures. The o ....New models and valuation methods for portfolio credit derivatives. Portfolio credit derivatives provide a mechanism to simultaneously transfer credit exposures to a large number of counterparties within a single transaction. However, no generally accepted valuation model for such credit portfolios is currently available. This project aims to develop new mathematically-based technologies to allow institutions such as Westpac (the Industry Partner) to optimally manage their credit exposures. The outcome will be a class of superior models and operational risk management tools that will ensure the value and risks of these transactions are properly understood and accurately quantified. These models will enhance both the knowledge base of the industry and academic scholarship.
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