From Markowitz to Black-Litterman: a dynamical approach through multivariate GARCH

Porcelli, Mario Francesco (A.A. 2020/2021) From Markowitz to Black-Litterman: a dynamical approach through multivariate GARCH. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 130. [Master's Degree Thesis]

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Abstract/Index

An introduction to portfolio management. The Markowitz model assumptions. Black-Litterman model. Dynamic analysis. Empirical analysis. Data presentation. DCC model implementation. Principal component analysis. Markowitz and Black-Litterman: a practical portfolio optimization case. Standard mean-variance inputs. A dynamical approach to asset allocation. Backtesting performance comparison. Transaction costs.

References

Bibliografia: pp. 123-124.

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: Empirical finance
Thesis Supervisor: Santucci de Magistris, Paolo
Thesis Co-Supervisor: Proietti, Tommaso
Academic Year: 2020/2021
Session: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 14 Mar 2022 14:20
Last Modified: 14 Mar 2022 14:20
URI: https://tesi.luiss.it/id/eprint/31697

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