This thesis describes and analyze critically some financial portfolio models, in partcular the 1/N model, the Mean-Variance optimization model and the Minimum Variance model. To asses their performances , it has been replicated the experiment proposed in the article "Optimal versus naive diversification: how inefficient is the 1/N portfolio startegy?" written by Victor DeMiguel,Lorenzo Garlappi and Raman Uppal, with a different criteria of the estimation window used in order to evaluate the performances of the three different strategies .
Portfolio rebalancing: comparing naive and classical strategies
Finocchiaro, Andrea
2016/2017
Abstract
This thesis describes and analyze critically some financial portfolio models, in partcular the 1/N model, the Mean-Variance optimization model and the Minimum Variance model. To asses their performances , it has been replicated the experiment proposed in the article "Optimal versus naive diversification: how inefficient is the 1/N portfolio startegy?" written by Victor DeMiguel,Lorenzo Garlappi and Raman Uppal, with a different criteria of the estimation window used in order to evaluate the performances of the three different strategies .File in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.14247/20187