Portfolio performance optimization by shorting ETFs: a practical application on the major European markets
Bianchini, Alessandro (A.A. 2022/2023) Portfolio performance optimization by shorting ETFs: a practical application on the major European markets. Tesi di Laurea in Equity markets and alternative investments, Luiss Guido Carli, relatore Marco Morelli, pp. 60. [Master's Degree Thesis]
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Abstract/Index
ETF functioning. ETF properties. Equity premium puzzle and research question. Literature review. Data. Methodology. Indicators, risk-free rate, and Fama French 3-factor model. Hedging strategy and pairing procedure. Findings. Italian market. Germany market. UK market. Netherlands market. European market.
References
Bibliografia e sitografia: pp. 58-60.
| 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: | Equity markets and alternative investments |
| Thesis Supervisor: | Morelli, Marco |
| Thesis Co-Supervisor: | Borri, Nicola |
| Academic Year: | 2022/2023 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 13 Dec 2023 11:16 |
| Last Modified: | 13 Dec 2023 11:16 |
| URI: | https://tesi.luiss.it/id/eprint/37320 |
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