OR

Browse By

The Management of Asymmetric Risk in a Modern Investment Portfolio (2008–2010)

Abstract:
The current suite of methods used to manage financial risk in a modern investment portfolio ignore that the dependency between securities is more complex than the simple linear relationship described by a correlation coefficient. This project will develop the theory and techniques to measure and manage the risks associated with asymmetric dependency between assets within the context of a modern investment portfolio. ,
Grant type:
ARC Linkage Projects
Researchers:

  • Professor Stephen Gray

    Malcolm Broomhead Chair in Finance
    School of Business
    Faculty of Business, Economics and Law
Funded by:
Australian Research Council