Passive, Active and Sentiment based mean-variance allocation

Abstract

This thesis wants to concentrate on behavioral finance and in particular on the method used by investors to face the problem of risk and return in the capital market. The structure of the composition provides for the development of a theoretical analysis of the portfolio’s choice and of behavioral finance, in order to conduct a real empirical analysis of the model. Therefore, a portfolio of securities will be built, in which the performance is assessed with a passive management by applying Markowitz's portfolio theory at first, then with active management, and finally the impact of the behavioral finance theory will be analyzed on its efficiency, readjusting the allocation of securities in accordance with any speculative and earning opportunities that arise as a result of the agents’ mass behavior in the market.