Grant: Collaborative Research and Development Grants

This joint research between Ryerson University and Sigma Analysis addresses to the problem of the risk management of Hedge Funds composed by Hedge Funds. Although there exist many studies in the mathematical modelling of financial markets, due to their deregulated nature, variety of managing styles, and lack of public information, Hedge Funds remain relatively less explored. This situation becomes even more complex for a Hedge Fund investing in other Hedge Funds. As the current financial crisis shows, risk and portfolio management of these type of companies is still a challenge in practical and theoretical grounds. The project aims to provide answers on both aspects by the analysis of the dynamic of a Hedge Fund equity and its connection with the hedging against risks arising from Hedge Funds and from general market conditions. The project is inserted in the long-term goal of our research group: the modelling of the financial markets in order to obtain a better understanding of their risks. It complements our Discovery-Nserc project ""Modelling Multidimensional Stochastic Systems"", 2009-2014, by providing important findings in the special area of Hedge Funds, in partnership with a Canadian based financial company. Along this line, the project consolidates a fruitful research collaboration with Sigma Analysis and Management in recent years, which includes several papers and technical reports, software implementation and preparation of HQP.