Dynamic optimization techniques for crypto portfolios
Rossini, Marco (A.A. 2020/2021) Dynamic optimization techniques for crypto portfolios. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 142. [Master's Degree Thesis]
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Abstract/Index
Cryptocurrencies as an asset class. Overview of the cryptocurrency environment. The evolution of cryptocurrency and alternative investments markets. Crypto as an investment opportunity. Theoretical framework. Modern portfolio theory and capital asset pricing model. Post-modern portfolio theory. Risk parity approach. Further elements in the analysis. Analysis and results. Settings. Data sample review. Sharpe ratio optimization. Sortino ratio optimization. Relaxed risk-parity optimization. Results comparison.
References
Bibliografia: pp. 115-119. Sitografia: pp. 120-121.
| 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: | Pirra, Marco |
| Academic Year: | 2020/2021 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 21 Jul 2022 12:45 |
| Last Modified: | 21 Jul 2022 12:45 |
| URI: | https://tesi.luiss.it/id/eprint/32920 |
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