Combinatorial optimization applied in portfolio construction
Denti, Federico (A.A. 2024/2025) Combinatorial optimization applied in portfolio construction. Tesi di Laurea in Computational tools for finance, Luiss Guido Carli, relatore Valerio Marchisio, pp. 53. [Master's Degree Thesis]
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Abstract/Index
Motivation and research context. From continuous mean–variance optimization to discrete portfolio selection. Binary quadratic modeling and annealing-based optimization. Data and methodology. Data. Problem formulation and mathematical framework. Estimation error and covariance regularization. Continuous allocation within the selected subset. Binary quadratic optimization and simulated annealing. Time-to-target calibration. Block-forward back testing design. Empirical results. Optimization landscape and time-to-target analysis. Distribution of out-of-sample Sharpe ratios. Equity curve dynamics and drawdown analysis. Energy minimization and Sharpe maximization: a structural disconnect.
References
Bibliografia: pp. 50-51.
| 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: | Computational tools for finance |
| Thesis Supervisor: | Marchisio, Valerio |
| Thesis Co-Supervisor: | Mimun, Hlafo Alfie |
| Academic Year: | 2024/2025 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 02 Jul 2026 14:45 |
| Last Modified: | 02 Jul 2026 14:45 |
| URI: | https://tesi.luiss.it/id/eprint/46323 |
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