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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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.


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


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