We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
NEW PORTFOLIO RISK OPTIMISATION METHOD FOR STRONGLY DEPENDENT ASSETS.
- Authors
FRYDRYCH, PIOTR; SZEWCZYK, ROMAN
- Abstract
New market time series Multiplexed Hysteretic Threshold Autoregressive (MHTAR) model was developed to test the correlation between assets stability, which is the basis of MPT theory and other portfolio optimisation methods. New approach to risk optimisation was presented, which can efficiently lower risk for strongly dependent assets. Developed Random Trading Signals Multiplexing (RTSM) method enables diversification of risk for any portfolio and increase safety for assets with low liquidity.
- Subjects
ASSETS (Accounting); HYSTERESIS (Economics); INVESTMENTS; ECONOMIC models; LIQUIDITY (Economics); TIME series analysis; STATISTICAL correlation; MATHEMATICAL optimization
- Publication
Journal of Engineering Studies & Research, 2014, Vol 20, Issue 3, p30
- ISSN
2068-7559
- Publication type
Article