Risk budgeting portfolios: beyond asset classes and into risk factors
Cassiani, Alessandro (A.A. 2018/2019) Risk budgeting portfolios: beyond asset classes and into risk factors. Tesi di Laurea in Asset management, Luiss Guido Carli, relatore Saverio Massi Benedetti, pp. 93. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Modern portfolio theory. The mean-variance framework and the efficient frontier. Risk budgeting approach. An application of risk parity: risk-based indexation. Data description and methodology. Equity indexes and risk factors. Empirical evidence. Performance indicators and diversification.
References
Bibliografia: pp. 75-77.
| 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: | Asset management |
| Thesis Supervisor: | Massi Benedetti, Saverio |
| Thesis Co-Supervisor: | Capasso, Arturo |
| Academic Year: | 2018/2019 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 21 Sep 2020 10:18 |
| Last Modified: | 21 Sep 2020 10:18 |
| URI: | https://tesi.luiss.it/id/eprint/27161 |
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