Discovery Projects - Grant ID: DP0987678

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0987678

Funding Status
Closed

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Funded Activity Summary

Modelling the Optimal Hedge Fund Portfolio Using a Multiscaling Method. Asset allocation theory sits at the heart of modern finance, yet remains something of a conundrum. By developing the a longer-horizon framework to asset allocation involving hedge funds, this project provides a significant insight onto sources of risk-horizon effects on asset allocation and allow us to understand how the exposure of hedge funds to the market risk varies across investment horizons. This allows academics to address a wide range of problems in optimal asset allocation and performance measurement. In addition, the outcomes can be applied to risk management by practitioners for their international and Australian domestic investors.

Funded Activity Details

Start Date: 05-01-2009

End Date: 31-12-2011

Funding Scheme: Discovery Projects

Funding Amount: $90,000.00

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 |

Other Keywords

Banking, Finance and Investment | Finance | Finance and investment services

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