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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. ,

Experts

Professor Stephen Gray

Malcolm Broomhead Chair in Finance
School of Business
Faculty of Business, Economics and Law
Stephen Gray
Stephen Gray