Rossi, Luca (A.A. 2024/2025) Mosaic strategy: an empirical analysis of a thematic and cyclical multi-asset portfolio. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 74. [Master's Degree Thesis]

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Abstract/Index

Literature review. Business-cycle dating and regime models. Regime-dependent risk premia and multi-asset allocation. Thematic investing. Multi-factor models. Data and investable universe. Sample, frequencies and alignment. Investable universe. Thematic factors. Benchmark and risk-free rate. Methodology. Regime identification models. Themes construction and factor model. Scoring and ranking. Portfolio construction. Performance metrics. Empirical results. Regime diagnostics. Multi-factor results. Portfolio performance.

References

Bibliografia: pp. 67-71.

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:	Damast, Dominik
Academic Year:	2024/2025
Session:	Extraordinary
Deposited by:	Alessandro Perfetti
Date Deposited:	14 Jul 2026 12:39
Last Modified:	14 Jul 2026 12:39
URI:	https://tesi.luiss.it/id/eprint/46387

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