A Monte Carlo simulation applied to portfolio management and the constant proportion portfolio insurance
Faggi, Dario (A.A. 2020/2021) A Monte Carlo simulation applied to portfolio management and the constant proportion portfolio insurance. Tesi di Laurea in Corporate finance, Luiss Guido Carli, relatore Emanuele Tarantino, pp. 55. [Bachelor's Degree Thesis]
|
PDF (Full text)
Download (1MB) | Preview |
Abstract/Index
Background. Aim and purpose. Methodology. Thesis structure. Overview of modern portfolio theory. Fundamentals. Modern portfolio optimization with Python. Major drawbacks of MPT. The Monte Carlo simulation and the efficient frontier. History. Random walk theory. Portfolio optimization through a Monte Carlo simulation. The constant proportion portfolio insurance as a re-balancing strategy. The Max Drawdown CPPI and its implementation. The Monte Carlo simulation and the Max Drawdown CPPI.
References
Bibliografia: pp. 35-36.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33) |
| Chair: | Corporate finance |
| Thesis Supervisor: | Tarantino, Emanuele |
| Academic Year: | 2020/2021 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 10 Mar 2022 14:51 |
| Last Modified: | 10 Mar 2022 14:51 |
| URI: | https://tesi.luiss.it/id/eprint/31670 |
Downloads
Downloads per month over past year
Repository Staff Only
 |
View Item |
