BSIC | Bocconi Students Investment Club
  • Articles
    • Markets
    • Corporate Finance
  • The Team
    • Members
    • Alumni
  • About Us
  • Gallery
  • Join Us
  • Contacts
  • Subscribe
  • Collaborations

Backtesting

Markets

Backtesting Series – Episode 4: Portfolio Construction & Portfolio Optimization

Download PDF Introduction In this fourth episode of the Backtesting Series, we will get into Portfolio Construction & Portfolio Optimization processes with a deep focus on MVO. If you haven’t already, we recommend reading the first three episodes before proceeding with this article. Please note that the series will include Read more…

By BSIC, 2 months23 March 2025 ago
Markets

Backtesting Series – Episode 2: Cross-Validation techniques

Download PDF Introduction As announced in our previous episode, the second article in our Backtesting series will discuss Cross Validation and introduce a new Backtesting strategy, first presented by Giuseppe Paleologo (2024). If you haven’t already, we recommend reading the first episode before proceeding with this article. Please note that Read more…

By BSIC, 7 months20 October 2024 ago
Markets

Backtesting Series – Episode 1: Introduction

Download PDF Introduction In this article, we present the first episode of a series on backtesting. We want to provide the reader with an immersive analysis of this powerful tool and analyze all the processes that lead to its optimization and implementation. The series will consist of the following parts: Read more…

By BSIC, 8 months6 October 2024 ago
Markets

Backtesting Dispersion Trading Chapter I

Download PDF Introduction There is empirical evidence that index options, especially puts, are overpriced relative to individual stock options. Dispersion trading is a strategy aimed to capitalize from this mispricing. The aim of this article is to explore whether dispersion trading can still generate positive returns, but to generate a Read more…

By BSIC, 2 years12 November 2023 ago
Markets

Lucky Numbers: The overlooked Role of Rebalance Timing Luck

Download PDF Introduction: Rebalance Timing Luck Every trading strategy has some turnover in its portfolio constituents; otherwise, it would simply be a buy-and-hold strategy. Equally, every index has some periodical rebalancing (and turnover) in its constituents. Often, the point in time at which this reshuffling of the portfolio takes place Read more…

By BSIC, 2 years12 November 2023 ago
Markets

Exploring the Application of Kelly’s Criterion in Portfolio Optimization

Download PDF Introduction When managing a portfolio, the fundamental problem is to find investments with excess risk-adjusted expected rates of return. Once the manager has identified some favourable opportunities and is ready to assemble the portfolio, they still need to decide how much capital, as a fraction of the value Read more…

By BSIC, 2 years26 March 2023 ago
Markets

Sparse Gaussian Graphical Models for Pairs Trading

Download PDF Introduction In this article, we discuss an equity Pairs Trading strategy using the S&P 500 index components. Pairs Trading is a statistical arbitrage strategy that involves simultaneously taking long and short positions in two financial assets, expecting their spread to converge to the mean. However, the process of Read more…

By BSIC, 2 years19 February 2023 ago
Markets

Pairs Trading: Building a Backtesting Environment with Python

Download PDF Introduction Statistical arbitrage is a class of trading strategies that profit from exploiting what are believed to be market inefficiencies. These inefficiencies are determined through statistical and econometric techniques. Note that the arbitrage part should by no means suggest a riskless strategy, rather a strategy in which risk Read more…

By BSIC, 3 years24 April 2022 ago

[instagram-feed]

Follow Us

  • Disclaimer
  • About Us
  • Join Us
  • Contacts
  • Subscribe
  • Privacy Policy
  • Cookie Policy
Hestia | Developed by ThemeIsle