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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
Program Convenor (Bachelor of Advanced Finance and Economics) of UQ Business School
School of Business
Faculty of Business, Economics and Law
Stephen Gray
Stephen Gray