More than 60 years has passed since Markowitz introduced the mean-variance framework for selecting optimal investment portfolios, but it has remained actual until nowadays. Despite its theoretical attractiveness, however, the mean-variance framework shows fallacies when applied to real world data due to the estimation error of its components. In this thesis I will compare different portfolio selection strategies, addressing the issue of improving the estimation of the variance-covariance matrix.

The mean-variance framework: is there a superior portfolio selection strategy?

Desimio, Simone
2016/2017

Abstract

More than 60 years has passed since Markowitz introduced the mean-variance framework for selecting optimal investment portfolios, but it has remained actual until nowadays. Despite its theoretical attractiveness, however, the mean-variance framework shows fallacies when applied to real world data due to the estimation error of its components. In this thesis I will compare different portfolio selection strategies, addressing the issue of improving the estimation of the variance-covariance matrix.
2016-03-08
File in questo prodotto:
File Dimensione Formato  
850773-1193633.pdf

accesso aperto

Tipologia: Altro materiale allegato
Dimensione 2.86 MB
Formato Adobe PDF
2.86 MB Adobe PDF Visualizza/Apri

I documenti in UNITESI sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.14247/20255