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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