Quantitative construction of diversified trading system portfolio
Martin, Maicol (A.A. 2021/2022) Quantitative construction of diversified trading system portfolio. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 162. [Master's Degree Thesis]
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Abstract/Index
The trading system and its functioning. Data feed providers. Platforms. Brokers. Virtual private server (VPS). Methodology to build trading system strategies. Strategy performance report. Trading system optimisation. Trading system evaluation. Practical example: full development and analysis of a strategy. Risk management & position sizing. Definition of risk. Position management. Money management and position sizing. Montecarlo simulation. Practical example: money management model application on dax. Portfolio construction. Evolution of portfolio theory. Pearson’s linear correlation coefficient. Diversification. Type of portfolio. Position sizing. Portfolio management. Practical example: fully diversified portfolio.
References
Bibliografia: pp. 146-148.
| 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: | Lippi, Francesco |
| Academic Year: | 2021/2022 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 03 Oct 2022 13:04 |
| Last Modified: | 03 Oct 2022 13:04 |
| URI: | https://tesi.luiss.it/id/eprint/33513 |
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