The impact of inflation on financial markets: an econometric analysis of asset returns and market volatility
Luciano, Alessandra (A.A. 2023/2024) The impact of inflation on financial markets: an econometric analysis of asset returns and market volatility. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Giacomo Morelli, pp. 47. [Master's Degree Thesis]
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Abstract/Index
Markovitz theory: overview. Principles of mean-variance portfolio theory. Mathematical framework. The use of correlation and covariance. Derivation of efficient frontier. The model in asset allocation. Diversification. Limitation of mean-variance portfolio theory. Tobin theory: overview. Fundamental principles of Tobin’s utility theory. Risk in utility functions. Mathematical framework. Constraints in utility optimization. Derivation of indifference curves. Tobin’s model in assets allocation. Limitations of Tobin’s utility theory. Sharpe theory: overview. Fundamental principles. Objective of the Sharpe ratio. Asset allocation. Model’s overview. Data acquisition. Portfolio construction. Simple regression analysis. Regression analysis adding non-linear relation. Markov-switching model. Inflation volatility’s analysis. Regression adding inflation volatility. Capital allocation line.
References
Bibliografia: p. 47.
| 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: | Asset pricing |
| Thesis Supervisor: | Morelli, Giacomo |
| Thesis Co-Supervisor: | Borri, Nicola |
| Academic Year: | 2023/2024 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 14 Jul 2025 10:21 |
| Last Modified: | 14 Jul 2025 10:21 |
| URI: | https://tesi.luiss.it/id/eprint/42900 |
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