Portfolio optimization
Terminella, Giulio (A.A. 2023/2024) Portfolio optimization. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 52. [Bachelor's Degree Thesis]
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Abstract/Index
Merton's problem. Introduction to Merton's portfolio optimization problem. Solution approaches. Implications of the Merton problem modern portfolio theory. Extension of the Merton model. Choice variables in models with finite and infinite time horizon. Interest rate risk and habit formation. Incorporaring stochastic volatility models. Practical application and case study. Real case analysis of portfolio optimization. Application of models in diversified investment scenarios: stocks, bonds and derivatives.
References
Bibliografia: p. 52.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33) |
| Chair: | Mathematical finance |
| Thesis Supervisor: | Biagini, Sara |
| Academic Year: | 2023/2024 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 17 Oct 2024 09:14 |
| Last Modified: | 17 Oct 2024 09:14 |
| URI: | https://tesi.luiss.it/id/eprint/40073 |
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