A defensive investment strategy for portfolio alpha return and market risk reduction
Mezzedimi, Marcello (2011) A defensive investment strategy for portfolio alpha return and market risk reduction. Tesi di Dottorato, LUISS Guido Carli, Department of Economics and Finance > PhD Program in Mathematical Methods for Economics, Business, Finance and Insurance, tutor: Marco Isopi, p. 156. [Doctoral Thesis]
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Abstract/Index
Mathematical framework. Core-asset daily returns. Core-asset compound returns. Hedging tools. Portfolios with daily hedging. Portfolio with non-daily hedging. Formulae. Implementation data.
References
Bibliografia: pp. 154-155.
| Item Type: | Doctoral Thesis (PhD) |
|---|---|
| Research documents and activity classification: | LUISS PhD Thesis |
| Divisions: | Department of Economics and Finance > PhD Program in Mathematical Methods for Economics, Business, Finance and Insurance |
| Thesis Advisor: | Isopi, Marco |
| Additional Information: | Dottorato di Ricerca in Metodi matematici per l'economia, l'azienda, la finanza e le assicurazioni (XXII ciclo), LUISS Guido Carli, Roma, 2011. Relatore: Prof. Marco Isopi. |
| Uncontrolled Keywords: | Portfolio. Alpha. Hedging. Futures. Short EFT. Risk-return. |
| MIUR Scientific Area: | Area 13 - Economics and Statistics > SECS-S/06 Mathematics for Economics, Actuarial Studies and Finance |
| Deposited By: | Chiara Annulli (admin) |
| Deposited On: | 20 Dec 2011 09:48 |
| Last Modified: | 20 Dec 2011 09:48 |
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