Beyond the benchmark: a study of active portfolio management compared to passive strategies
Piccolella, Sara (A.A. 2023/2024) Beyond the benchmark: a study of active portfolio management compared to passive strategies. Tesi di Laurea in Equity markets and alternative investments, Luiss Guido Carli, relatore Paolo Vitale, pp. 84. [Master's Degree Thesis]
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Abstract/Index
Literature review. Efficient market hypothesis. Capital asset pricing model. Security market line. Index model. Performance analysis. Risk-adjusted measures of performance. Costs of active management. Active vs. passive strategy. Data methodology. Descriptive analysis. Optimal allocation portfolio. Estimation of the optimal active portfolio. Rebalancing dynamics. Correlated residuals: SURE methodology. Multivariate regressions. Estimation of the optimal portfolio with SURE methodology.
References
Bibliografia: pp. 53-55.
| 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: | Vitale, Paolo |
| Thesis Co-Supervisor: | Borri, Nicola |
| Academic Year: | 2023/2024 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 17 Dec 2024 15:02 |
| Last Modified: | 17 Dec 2024 15:02 |
| URI: | https://tesi.luiss.it/id/eprint/40674 |
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