All-Weather, empirical analysis of static and dynamic portfolio allocation

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dc.contributor.advisor Pelizzon, Loriana it_IT Mehmedovic, Kenan <1997> it_IT 2022-02-20 it_IT 2022-06-22T08:01:36Z 2022-06-22T08:01:36Z 2022-03-18 it_IT
dc.description.abstract The aim of this thesis is to test the reliability of the All-Weather portfolio allocation. In particular, starting from the works carried out by Bridgewater Associate and Gabriele Galletta we build a portfolio based on the Risk-Parity and Post Modern Portfolio Theory. The portfolio allocation is based on four macro-economic scenarios, respectively: inflation, deflation, growth and recession. Each of this scenario can be mixed with another one creating a sub-scenario. The All-Weather behaved well, outperforming the traditional portfolios in every macro scenario. The paper stressed out the Risk-Parity allocation involving a Dynamic-Allocation by automatically allocating the capital only into the securities which traditionally performed well in each sub-scenario. This asset allocation scored very high in traditional performance index like the Sharpe Ratio and others. it_IT
dc.language.iso en it_IT
dc.publisher Università Ca' Foscari Venezia it_IT
dc.rights © Kenan Mehmedovic, 2022 it_IT
dc.title All-Weather, empirical analysis of static and dynamic portfolio allocation it_IT
dc.title.alternative All-Weather: empirical analysis of static and dynamic portfolio allocation it_IT
dc.type Master's Degree Thesis it_IT Economia e finanza it_IT Laurea magistrale it_IT Dipartimento di Economia it_IT
dc.description.academicyear 2020/2021 - sessione straordinaria - 7 marzo 2022 it_IT
dc.rights.accessrights openAccess it_IT
dc.thesis.matricno 883136 it_IT
dc.subject.miur SECS-P/03 SCIENZA DELLE FINANZE it_IT
dc.description.note it_IT it_IT it_IT it_IT
dc.provenance.upload Kenan Mehmedovic (, 2022-02-20 it_IT
dc.provenance.plagiarycheck Loriana Pelizzon (, 2022-03-07 it_IT

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