Machine learning for portfolio optimization
Cistulli, Michele (A.A. 2020/2021) Machine learning for portfolio optimization. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 68. [Master's Degree Thesis]
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Abstract/Index
Measures of performance. Measures of return. Risk-adjusted measures of performance. Introduction to machine learning. Definition and terminology. MAchine learning methods. Statistical tools for machine learning. Why to estimeta f. How to estimate f? Linear model. Portfolio optimization methods. Mean-variance analysis. What's next? Shrinkage methods. Implementation. Simulation. Results.
References
Bibliografia: pp. 63-68.
| 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: | Laura, Luigi |
| Academic Year: | 2020/2021 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 10 May 2022 14:09 |
| Last Modified: | 10 May 2022 14:09 |
| URI: | https://tesi.luiss.it/id/eprint/32226 |
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