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)
Date Deposited: 20 Dec 2011 08:48
Last Modified: 22 Apr 2015 00:14
URI: http://eprints.luiss.it/id/eprint/1007

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