Portfolio optimization and cryptocurrencies: a risk and return analysis in the integration of new financial technologies
Di Lella, Francesca (A.A. 2023/2024) Portfolio optimization and cryptocurrencies: a risk and return analysis in the integration of new financial technologies. Tesi di Laurea in Risk management, Luiss Guido Carli, relatore Daniele Penza, pp. 67. [Master's Degree Thesis]
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Abstract/Index
Cryptocurrencies, overview and role. Risks related to cryptocurrency investment. The volatility of cryptocurrencies related to other financial assets. Markowitz portfolio optimization theory, fundamentals and concepts. Principles of diversification and optimal asset allocation. Application to portfolios that include cryptocurrencies. Definition of the model. Implementation of the model. How the integration of bitcoin affects the overall portfolio volatility. Changes in the risk-adjusted performance. Bitcoin’s role.
References
Bibliografia: pp. 65-66.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Risk management |
| Thesis Supervisor: | Penza, Daniele |
| Thesis Co-Supervisor: | Morelli, Giacomo |
| Academic Year: | 2023/2024 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 29 Jan 2025 11:41 |
| Last Modified: | 29 Jan 2025 11:41 |
| URI: | https://tesi.luiss.it/id/eprint/41089 |
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