Enhancing asset pricing models: downside risk and machine learning applications
Caradonna, Alberto (A.A. 2023/2024) Enhancing asset pricing models: downside risk and machine learning applications. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 77. [Master's Degree Thesis]
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Abstract/Index
Literature review. Carry trade and currency returns. Description and history of the carry trade in the foreign exchange market. Explanations of return dispersion among currencies. Downside risk capital asset pricing model (DR-CAPM). Artificial intelligence and machine learning in portfolio analysis. Data and methodology. Data. Methodology. Results. DR-CAPM analysis. Regression analysis. Machine learning.
References
Bibliografia: pp. 71-77.
| 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: | Casertano, Gaetano |
| Academic Year: | 2023/2024 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 28 Jan 2025 17:39 |
| Last Modified: | 28 Jan 2025 17:39 |
| URI: | https://tesi.luiss.it/id/eprint/41079 |
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