Options in asset allocation problems: an empirical model applied to the Italian FTSE MIB index
Zincone, Gino Ercole (A.A. 2019/2020) Options in asset allocation problems: an empirical model applied to the Italian FTSE MIB index. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 96. [Master's Degree Thesis]
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Abstract/Index
What are options? History, definitions, and strategies. Options: brief history and general definition. Plain vanilla and exotic options: main determinants, greeks, payoffs. The most common options strategies. The role of options in investors’ portfolios. The role of options in buy and hold portfolios to solve the classic asset allocation problem. Benefit from including derivatives in optimal dynamic strategies. Optimal Portfolio’s choices whit jumps in volatility. A myopic portfolio to exploit the mispricing. Option strategies applied to the FTSE MIB index.
References
Bibliografia: p. 95. Sitografia: p. 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: | Pirra, Marco |
| Academic Year: | 2019/2020 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 07 May 2021 07:27 |
| Last Modified: | 07 May 2021 07:27 |
| URI: | https://tesi.luiss.it/id/eprint/29395 |
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