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.
Cuvinte cheie
risk management
hysteresis model
correlation
market modelling