NEW PORTFOLIO RISK OPTIMISATION METHOD FOR STRONGLY DEPENDENT ASSETS
PIOTR FRYDRYCH(1), ROMAN SZEWCZYK(1)
1. Warsaw University of Technology, Institute of Metrology and Biomedical Engineering, Poland
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.