Performance analysis of statistical arbitrage portfolio
Fabbri, Niccolò (A.A. 2020/2021) Performance analysis of statistical arbitrage portfolio. Tesi di Laurea in Equity markets and alternative investments, Luiss Guido Carli, relatore Paolo Vitale, pp. 86. [Master's Degree Thesis]
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Abstract/Index
Overview of pairs trading. Asset pricing models. Long-short strategies. Pairs trading approaches. Trading strategy. Data preparation. Pairs selection. Trading signals. Weighting schemes. Tradional weighting schemes. Alternative weighting schemes. Risk budgeting. Implementation. Performance analysis. Return computation. Strategy returns.
References
Bibliografia: pp. 56-57.
| 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: | Equity markets and alternative investments |
| Thesis Supervisor: | Vitale, Paolo |
| Thesis Co-Supervisor: | Morelli, Marco |
| Academic Year: | 2020/2021 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 24 Mar 2022 08:40 |
| Last Modified: | 24 Mar 2022 08:40 |
| URI: | https://tesi.luiss.it/id/eprint/31820 |
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