Discovery Projects - Grant ID: DP0343913

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0343913

Funding Status
Closed

Does something not look right? The information on this page has been harvested from data sources that may not be up to date. We continue to work with information providers to improve coverage and quality. To report an issue, use the .

Funded Activity Summary

Approximation and Simulation of Large Diversified Portfolios. 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.

Funded Activity Details

Start Date: 23-01-2003

End Date: 30-06-2008

Funding Scheme: Discovery Projects

Funding Amount: $224,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Stochastic Analysis And Modelling | Finance | Banking, Finance and Investment

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services |

Other Keywords

Banking, Finance and Investment | Finance | Finance and investment services | Stochastic Analysis And Modelling

Related Links