Dynamic portfolio optimization: a simulation and regression approach applied to a multi asset portfolio choice problem
Pretti, Luigi (A.A. 2019/2020) Dynamic portfolio optimization: a simulation and regression approach applied to a multi asset portfolio choice problem. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 122. [Master's Degree Thesis]
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Abstract/Index
Myopic portfolio choice. Defining a financial asset return. Portfolio returns and the effect of diversification. The Markowitz approach. Limits of the myopic portfolio choice. Utility functions. Definition of expected utility. Quadric utility, exponential utility and power utility. Dynamic portfolio choice. Merton's approach to portfolio choice in continuous time. Dynamic portfolio choice in discrete time. Description of the problem. Methodology. Expanding the value function. Backward recursion by approximating terminal wealth. Imposing constraint on the portfolio weights. Implementation. Description of the dynamic strategy. Results. Mean asset allocation and performance measures. Gains of the dynamic strategy. Alternative individual characteristics.
References
Bibliografia: pp. 92-96.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Porchia, Paolo |
| Thesis Co-Supervisor: | Torrisi, Alfio |
| Academic Year: | 2019/2020 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 09 Apr 2021 10:22 |
| Last Modified: | 09 Apr 2021 10:22 |
| URI: | https://tesi.luiss.it/id/eprint/28986 |
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