The aim of the thesis is to investigate the milestone of Modern Portfolio Theory: the relationship between risk and reward. Starting from Markowitz's intuition we will see the evolution of capital pricing, focusing on beta asymmetries and the consequent impact on the slope of SML. We further analyzed the cosntribution provided by Asness,Frazzini and Pedersen by testing their betting against correlation (BAC) factor and trying to implement new innovative strategies.
The Low-Risk Effect, from Betting Against Beta to Betting Against Correlation
PASETTI, TOMMASO
2016/2017
Abstract
The aim of the thesis is to investigate the milestone of Modern Portfolio Theory: the relationship between risk and reward. Starting from Markowitz's intuition we will see the evolution of capital pricing, focusing on beta asymmetries and the consequent impact on the slope of SML. We further analyzed the cosntribution provided by Asness,Frazzini and Pedersen by testing their betting against correlation (BAC) factor and trying to implement new innovative strategies.File in questo prodotto:
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https://hdl.handle.net/20.500.14239/7566