Multivariate GARCH and portfolio optimization
Brardinoni, Edoardo (A.A. 2021/2022) Multivariate GARCH and portfolio optimization. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 98. [Master's Degree Thesis]
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Abstract/Index
Portfolio selection. Efficient portfolio. Value at risk (VaR). Empirical application. MGARCH: estimation and forecasting.
References
Bibliografia: pp. 97-98.
| 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: | Empirical finance |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Proietti, Tommaso |
| Academic Year: | 2021/2022 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 02 Aug 2023 10:06 |
| Last Modified: | 02 Aug 2023 10:06 |
| URI: | https://tesi.luiss.it/id/eprint/36218 |
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