Dynamic modelling of risk for individual securities and portfolios
This work is being undertaken with a number of collaborators. One segment is funded by the ARC Linkage Grant LP0562305 with Professor M. McAleer as a former co-chief investigator and current principal investigator. He has relocated from UWA overseas to positions at Erasmus University, the University of Tokyo and National Chung Hsing University, Taiwan. Mr Abhay Kumar Singh, a graduate of the Indian Institute of Information Technology at Gwalior has recently joined us to work as a research associate on this project. The work has consisted of the application of time-series econometrics techniques, portfolio optimization methods and applications of quantile regression analysis to model security and portfolio return distributions and to optimize portfolio weights utilizing down-side risk measures.