Portfolio optimization: a comparison among Markowitz, Black Litterman and robust optimization approach
Maestripieri, Simone (A.A. 2019/2020) Portfolio optimization: a comparison among Markowitz, Black Litterman and robust optimization approach. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 100. [Master's Degree Thesis]
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Abstract/Index
From modern portfolio theory (MPT) to CAPM. Portfolio construction process. Markowitz and the mean-variance framework. Capital market theory (CMT). Capital asset pricing model (CAPM). Black-Litterman. Bayesian background. Black-Litterman model. Robust optimization. Model. RO with quadratic uncertainty set vs MVO. Empirical application. Procedure. Results. In-sample analysis. Out-of-sample analysis.
References
Bibliografia: pp. 90-95.
| 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 pricing |
| Thesis Supervisor: | Borri, Nicola |
| Thesis Co-Supervisor: | Reichlin, Pietro |
| Academic Year: | 2019/2020 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 07 Jul 2021 06:39 |
| Last Modified: | 07 Jul 2021 06:39 |
| URI: | https://tesi.luiss.it/id/eprint/29991 |
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