Markowitz and Black-Litterman models in portfolio optimization: a comparative analysis of static and dynamic strategies
Suarato, Vittorio (A.A. 2023/2024) Markowitz and Black-Litterman models in portfolio optimization: a comparative analysis of static and dynamic strategies. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 62. [Master's Degree Thesis]
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Abstract/Index
Theoretical framework. Markowitz mean-variance model. Black–Litterman model. Empirical methodology. Data description. Model implementation. Backtesting framework. Results and discussion. Exploratory analysis with the full dataset. Backtesting: buy-and-hold strategy. Backtesting: rebalancing scenario.
References
Bibliografia: pp. 60-61.
| 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: | Marchisio, Valerio |
| Academic Year: | 2023/2024 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 08 Jul 2025 12:54 |
| Last Modified: | 08 Jul 2025 12:54 |
| URI: | https://tesi.luiss.it/id/eprint/42805 |
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