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 eval ....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.Read moreRead less
Complexity, Risk Management and Dynamic Portfolio Selection in Investment Management using Advances in Evolutionary Parallel-computing Artificial Intelligence. With over $1 trillion of investors' monies in the hands of fund managers, the health of the Australian economy is critically dependent on the investment decisions of these managers. However, the majority of the funds are invested in risky assets with histories of volatile price movements about which we do not possess a deep understanding. ....Complexity, Risk Management and Dynamic Portfolio Selection in Investment Management using Advances in Evolutionary Parallel-computing Artificial Intelligence. With over $1 trillion of investors' monies in the hands of fund managers, the health of the Australian economy is critically dependent on the investment decisions of these managers. However, the majority of the funds are invested in risky assets with histories of volatile price movements about which we do not possess a deep understanding. This project draws upon a set of inter-disciplinary concepts and models centred in neural networks that allow for learning over time to advance our understanding of complexity, leading to superior quantitative tools and models to allow for improved decision-making in respect of risk management and asset allocation.
Read moreRead less
The Value of Growth and Risk in the Australian Stock Market. The pricing of stock returns remains a ?holy grail? in financial economics. This project will take us closer to this prize by investigating new models for the pricing of risk in stock prices, focusing upon key questions specific to Australia including the role of liquidity, influence of goodwill and power of dividends. Tests will be conducted in the context of a new paradigm model. Outcomes are improved data management, improved risk c ....The Value of Growth and Risk in the Australian Stock Market. The pricing of stock returns remains a ?holy grail? in financial economics. This project will take us closer to this prize by investigating new models for the pricing of risk in stock prices, focusing upon key questions specific to Australia including the role of liquidity, influence of goodwill and power of dividends. Tests will be conducted in the context of a new paradigm model. Outcomes are improved data management, improved risk control, improved tools and knowledge for investment decision-making for industry. The industry partner, DFA Australia, is a commercial fund manager highly committed through its strong links to US academe.Read moreRead less