Risk budgeting portfolios: beyond asset classes and into risk factors

Cassiani, Alessandro (A.A. 2018/2019) Risk budgeting portfolios: beyond asset classes and into risk factors. Tesi di Laurea in Asset management, Luiss Guido Carli, relatore Saverio Massi Benedetti, pp. 93. [Master's Degree Thesis]

Full text for this thesis not available from the repository.


Modern portfolio theory. The mean-variance framework and the efficient frontier. Risk budgeting approach. An application of risk parity: risk-based indexation. Data description and methodology. Equity indexes and risk factors. Empirical evidence. Performance indicators and diversification.


Bibliografia: pp. 75-77.

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: Asset management
Thesis Supervisor: Massi Benedetti, Saverio
Thesis Co-Supervisor: Capasso, Arturo
Academic Year: 2018/2019
Session: Extraordinary
Deposited by: Alessandro Perfetti
Date Deposited: 21 Sep 2020 10:18
Last Modified: 21 Sep 2020 10:18
URI: https://tesi.luiss.it/id/eprint/27161


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