Discovery Projects - Grant ID: DP0451810

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0451810

Funding Status
Closed

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Funded Activity Summary

MANAGING AND MODELLING RISK AND COMPLEXITY IN THE INVESTMENT AND HEDGE FUNDS INDUSTRY. The project will develop an evolutionary learning algorithm for modeling non-linear financial asset price movements and conduct simulations to gain a better understanding of price formation in securities markets with a focus on the equity market. We will focus on extreme market conditions to calibrate the benefits and efficiency of risk management techniques. The models will be applied to benchmarking and evaluating portfolio decisions of hedge funds; investment risk management and dynamic portfolio selection strategies. The research will result in new theoretical approaches and empirical methods to study price movements and evaluate fund performance.

Funded Activity Details

Start Date: 01-01-2004

End Date: 31-12-2006

Funding Scheme: Discovery Projects

Funding Amount: $270,000.00

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 | Macroeconomic issues not elsewhere classified |

Other Keywords

Banking, Finance and Investment | Finance | Finance and investment services | Macroeconomic issues not elsewhere classified

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