Savoca Corona, Tommaso (A.A. 2024/2025) Defining risk before optimizing: beta constraints in mean–variance portfolios. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 70. [Master's Degree Thesis]

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Abstract/Index

Methodology. Mean–variance optimization. Beta. Regularization via constraints. Robust inference in econometrics. Data. Asset universe and data sources. Internal benchmark construction. Portfolio optimization framework. Empirical results. Gross and net performance. Drawdowns and downside risk. Risk control. Rolling Sharpe ratio. Asset correlation structure. Average portfolio weights and implied risk allocation. Robustness and extensions. Sensitivity to beta targets and constraint tightness. Subperiod and regime analysis. Statistical tests and inference.

References

Bibliografia: pp. 36-38.

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:	Econometric theory
Thesis Supervisor:	Santucci de Magistris, Paolo
Thesis Co-Supervisor:	Carlini, Federico Carlo Eugenio
Academic Year:	2024/2025
Session:	Extraordinary
Deposited by:	Alessandro Perfetti
Date Deposited:	25 Jun 2026 09:09
Last Modified:	25 Jun 2026 09:09
URI:	https://tesi.luiss.it/id/eprint/46253

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