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