Discovery Projects - Grant ID: DP0211352

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0211352

Funding Status
Closed

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Funded Activity Summary

Modelling a portfolio of financial assets: structure, estimation, testing and forecasting. Information regarding financial returns and risk is essential for optimal portfolio selection and asset management. Returns and risk have typically been analysed for individual assets. The project provides a theoretical solution to the important practical problem of modelling a portfolio of financial assets in realistic situations. The significance of the research is the development of a new approach to analyse a portfolio of returns and risk, and the determination of its applicability using numerical simulation techniques. The expected outcomes are an optimal practical method for analysing a portfolio of assets, a scientific monograph, and publications in leading international journals.

Funded Activity Details

Start Date: 07-10-2002

End Date: 09-07-2005

Funding Scheme: Discovery Projects

Funding Amount: $272,373.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Time-Series Analysis | Financial Econometrics | Econometric And Statistical Methods | Econometrics

ANZSRC Socio-Economic Objective (SEO)

Economic issues not elsewhere classified |

Other Keywords

Econometric And Statistical Methods | Econometrics | Economic issues not elsewhere classified | Financial Econometrics | Time-Series Analysis

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