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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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.


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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