Risk parity portfolio: backtesting and performance analysis across different time horizons

Damato, Eva (A.A. 2023/2024) Risk parity portfolio: backtesting and performance analysis across different time horizons. Tesi di Laurea in Equity markets and alternative investments, Luiss Guido Carli, relatore Paolo Vitale, pp. 68. [Master's Degree Thesis]

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Abstract/Index

Theoretical framework. Portfolio construction: asset class selection. Risk contribution. Newton-Raphson algorithm for risk parity portfolio construction. Empirical analysis. Empirical analysis: overview and methodology. Results: risk parity portfolio with two asset classes. Results: risk parity portfolio with four asset classes.

References

Bibliografia: pp. 67-68.

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: Equity markets and alternative investments
Thesis Supervisor: Vitale, Paolo
Thesis Co-Supervisor: Curcio, Domenico
Academic Year: 2023/2024
Session: Extraordinary
Deposited by: Alessandro Perfetti
Date Deposited: 08 Jul 2025 10:59
Last Modified: 08 Jul 2025 10:59
URI: https://tesi.luiss.it/id/eprint/42800

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