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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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.


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


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