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Michael
Kühn
Gesellschafter/Geschäftsführer
Wall
Street Technology GmbH
Kurfürstendamm
207 - 208
D
- 10719 Berlin
Germany
T.:
+49 30 3235522
Fax:
+49 30
32701108
www.wallst.de
wstgmbh@compuserve.com
Financial
Risk Modelling
A
key element of innovation we would like to introduce into the project is beyond
current state-of-the-art portfolio management and risk management strategies.
Scientifically, our areas of research are:
a) Homogenous
Portfolio Model
Existing
mathematical or stochastical models usually do only compare different assets of
one class or type. What is required here is an extension, enabling the
comparison of different assets belong to different asset classes in precise
mathematical terms. This is to be described as Homogeneous
Portfolio Model.
If
the overall amount of investments made by a client is regarded as a portfolio,
the following questions are usually raised:
1)
Is the customer's portfolio really tailored according to his real risk
tolerance?
2)
What strategies have to be applied in order to optimise the portfolio?
3)
Is the portfolio's diversification high enough in order to avoid certain
(so-called non-systematic) risks?
Theories
and methods to be applied here can be derived from Mathematical and Stochastical
Portfolio Theory and Risk Management Theory. Special Programming Techniques
include Agent Technology, Monte-Carlo Simulation and Genetic Algorithms.
b) Risk Tolerance Modelling
The
goal is here to develop models enabling the measurement of the real risk
tolerance of a client. Such models will have to rely on recent contributions to
economic theory, as made by Kahneman, recent Nobel Prize winner in Economics,
and others. Again such techniques are beyond current state-of-the-art.
| Network of
Excellence |
CARiMan |
The
Internet Portal for Computer Aided Risk Management |