Quantitative construction of diversified trading system portfolio

Martin, Maicol (A.A. 2021/2022) Quantitative construction of diversified trading system portfolio. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 162. [Master's Degree Thesis]

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The trading system and its functioning. Data feed providers. Platforms. Brokers. Virtual private server (VPS). Methodology to build trading system strategies. Strategy performance report. Trading system optimisation. Trading system evaluation. Practical example: full development and analysis of a strategy. Risk management & position sizing. Definition of risk. Position management. Money management and position sizing. Montecarlo simulation. Practical example: money management model application on dax. Portfolio construction. Evolution of portfolio theory. Pearson’s linear correlation coefficient. Diversification. Type of portfolio. Position sizing. Portfolio management. Practical example: fully diversified portfolio.


Bibliografia: pp. 146-148.

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: Asset pricing
Thesis Supervisor: Borri, Nicola
Thesis Co-Supervisor: Lippi, Francesco
Academic Year: 2021/2022
Session: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 03 Oct 2022 13:04
Last Modified: 03 Oct 2022 13:04
URI: https://tesi.luiss.it/id/eprint/33513


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