Fama french risk facrors and economic cycle: an empirical study across multiple regimes
Pisconti, Giuseppe (A.A. 2018/2019) Fama french risk facrors and economic cycle: an empirical study across multiple regimes. Tesi di Laurea in Theory of finance, Luiss Guido Carli, relatore Nicola Borri, pp. 109. [Master's Degree Thesis]
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Abstract/Index
Theoretical framework of factor investing. Identification of risk factors. Investigation of economic regimes and performance analysis. Performance analysis in regime switching framework. Portfolio optimization and factor allocation. Analysis of results and alternative strategies.
References
Bibliografia: pp. 83-85.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Theory of finance |
| Thesis Supervisor: | Borri, Nicola |
| Thesis Co-Supervisor: | Benigno, Pierpaolo |
| Academic Year: | 2018/2019 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 19 Nov 2019 09:46 |
| Last Modified: | 19 Nov 2019 09:46 |
| URI: | https://tesi.luiss.it/id/eprint/25091 |
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