A perspective on portfolio diversification: theory and practice to estimate the variance covariance matrix
Matacena, Amedeo (A.A. 2018/2019) A perspective on portfolio diversification: theory and practice to estimate the variance covariance matrix. Tesi di Laurea in Quantitative methods for management, Luiss Guido Carli, relatore Marco Pirra, pp. 95. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Investment characteristics of assets. Risk aversion and portfolio selection. Application of utility theory to portfolio selection (indifference curves). Risk and return of portfolio composition. The power of diversification. Estimations of the variance-covariance matrix. Forward looking methods. Comparison of GMVPs.
References
Bibliografia: p. 68.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Management, English language (LM-77) |
| Chair: | Quantitative methods for management |
| Thesis Supervisor: | Pirra, Marco |
| Thesis Co-Supervisor: | Porchia, Paolo |
| Academic Year: | 2018/2019 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 16 Mar 2020 09:30 |
| Last Modified: | 16 Mar 2020 09:30 |
| URI: | https://tesi.luiss.it/id/eprint/25937 |
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