Improving the performance of the mean-variance portfolio: GMV portfolio and short-sales constraints
Greco, Alessandro (A.A. 2023/2024) Improving the performance of the mean-variance portfolio: GMV portfolio and short-sales constraints. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Giacomo Morelli, pp. 62. [Master's Degree Thesis]
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Abstract/Index
Evolution of portfolio theory: from efficient frontier to capital market line. Modern porfolio theory. Capital market line. Optimization problems in different scenarios. Estimation error in portfolio optimization. Estimation error in expected returns
References
Bibliografia: pp. 60-62.
| 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: | Asset pricing |
| Thesis Supervisor: | Morelli, Giacomo |
| Thesis Co-Supervisor: | Penza, Daniele |
| Academic Year: | 2023/2024 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 08 May 2025 14:51 |
| Last Modified: | 08 May 2025 14:51 |
| URI: | https://tesi.luiss.it/id/eprint/42074 |
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