A model that combines econometric ARMA model with new machine learning techniques will be developed to build an efficient portfolio, composed of Italian FTSE-MIB stocks. The goal of this portfolio is to over-perform a benchmark portfolio obtained throw traditional Markowitz optimisation.
A model that combines econometric ARMA model with new machine learning techniques will be developed to build an efficient portfolio, composed of Italian FTSE-MIB stocks. The goal of this portfolio is to over-perform a benchmark portfolio obtained throw traditional Markowitz optimisation.
Machine Learning and Portfolio Optimization: an application to Italian FTSE-MIB Stocks
MASIERO, ANDREA
2022/2023
Abstract
A model that combines econometric ARMA model with new machine learning techniques will be developed to build an efficient portfolio, composed of Italian FTSE-MIB stocks. The goal of this portfolio is to over-perform a benchmark portfolio obtained throw traditional Markowitz optimisation.File in questo prodotto:
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Masiero_Andrea.pdf
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.12608/48242