Statistical approaches to portfolio optimization
Caridi, Giulia (A.A. 2023/2024) Statistical approaches to portfolio optimization. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 34. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Introduction to GARCH models. Univariate GARCH models. Multivariate GARCH models. Dynamic conditional correlation (DCC) model. Modern portfolio theory. Theoretical framework. Mathematical formulation. Advantages of using DCC in estimating the variance-covariance matrix. Empirical application. Data selection. General framework. General results.
References
Bibliografia: pp. 32-33.
| 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: | Econometric theory |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Antonelli, Fabio |
| Academic Year: | 2023/2024 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 06 May 2025 10:32 |
| Last Modified: | 06 May 2025 10:32 |
| URI: | https://tesi.luiss.it/id/eprint/41960 |
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