Discovery Projects - Grant ID: DP0557172

Funding Activity

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Funded Activity Summary

A Wavelet Multiscaling Approach to Multifactor Asset Pricing Models. 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.

Funded Activity Details

Start Date: 2005

End Date: 12-2007

Funding Scheme: Discovery Projects

Funding Amount: $123,294.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Finance | Banking, Finance and Investment

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services |