Quantitative portfolio management: the implementation of GARCH-Bayesian approach

Muscarà, Andrea (A.A. 2023/2024) Quantitative portfolio management: the implementation of GARCH-Bayesian approach. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 106. [Master's Degree Thesis]

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Abstract/Index

Methodology. Principi generali del real estate. Time series models for mean and variance. Black-Litterman model. Principal component analysis. Results of the empirical analysis. Preliminary analysis. Principal component analysis. Portfolio optimization.

References

Bibliografia: pp. 64-69.

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: Langer, Marshall
Academic Year: 2023/2024
Session: Extraordinary
Deposited by: Alessandro Perfetti
Date Deposited: 03 Jul 2025 10:57
Last Modified: 03 Jul 2025 10:57
URI: https://tesi.luiss.it/id/eprint/42744

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