Investing in Euro equity markets through Parametric Portfolio Policies (PPP) : a feasibility analysis of the PPP approach on principal euro-zone stock markets

In this paper we exploit the parametric portfolio policy (PPP) approach proposed by Brandt, Santa Clara and Valkanov (2009) on an investable set of only large European stocks, with the goal of accepting its advantages to the portfolio’s optimization problem also in the Euro financial markets. Our sa...

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Bibliographic Details
Main Author: Zanello, Federico (author)
Format: masterThesis
Language:eng
Published: 2022
Subjects:
Parametric portfolio
Portfolio optimization
Portfolio policies
Expected utility
Risk aversion
Carteira paramétrica
Optimização de carteira
Políticas de carteira
Utilidade esperada
Aversão ao risco
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
Online Access:http://hdl.handle.net/10400.14/38042
Country:Portugal
Oai:oai:repositorio.ucp.pt:10400.14/38042

Internet

http://hdl.handle.net/10400.14/38042

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