Bocconi Home

MASSIMO GUIDOLIN

Argomenti per tesi di laurea magistrale (di ricerca e non)

If you care for any of these topics, come and visit me during office hours to discuss whether we may have a match of incentives and goals.

No e-mails, personal visit is required.

Remember: no faculty member is forced to accept your as a supervisee, especially if this faculty member supervises already a dozen theses or more. Therefore, DROP BY AND DISCUSS topics, do not simply start working on them on your own.

IMPORTANT: EFFECTIVE JUNE 21, 2018, I WILL ACCEPT RESEARCH THESES IF AND ONLY IF AS STUDENT HAS SUCCESSFULLY WRITTEN MY OPTIONAL EXAM, 20541 - ADVANCED QUANTITATIVE METHODS FOR ASSET PRICING AND STRUCTURING, see

http://didattica.unibocconi.it/ts/tsn_anteprima2006.php?cod_ins=20541&anno=2018&IdPag=6066

Note that up to 6 optional exams can be taken (and will count for a student's final GPA).

 

1. Component models for dynamic correlations (Subject: Econometrics; level: medium/high, approx. 7 pts. goal), see, e.g., this paper.

2. Design-free estimation of covariance matrices (Subject: Econometrics; level: high, approx. 7/8 pts. goal), see, e.g., this paper.

3. How much mileage can simple regression methods give us in applied asset pricing and portfolio choice? (Subject: Asset Pricing and Portfolio Choice; level: medium/high, 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

4. Arbitrage-free modelling of the dynamics in the Implied Volatility Surface from option prices (Subject: Derivatives; level: medium/high, 6/7 pts. goal), see, e.g., this paper. ALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

5. Asset pricing models applied to (forecasting) the cross-section of commodity returns (Subject: Asset Pricing; level: high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

6. Asset pricing with beliefs-dependent, time-varying risk aversion and learning (Subject: Asset Pricing; level: medium/high, approx. 7 pts. goal), see, e.g., this paper.

7. Applications to finance of Bayesian structural VAR modelling (Subject: Econometrics; level:  very high, 8 pts. goal), see, e.g., this paper.

8. Solving long-run, multi-period, dynamic mean-variance problems (Subject: Portfolio Choice; level: high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

9. Long-horizon predictability in real estate finance, statistical issues and economic value generation (Subject: Econometrics and Portfolio Choice; level: medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

10. The economic determinants of the prices of precious metals (Subject: Portfolio Choice; level medium, approx. 6/7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

11. Bond portfolio optimization using dynamic factor models (Subject: Portfolio Choice; level medium, approx. 6/7 pts. goal), see, e.g., this paper.

12. Can we use GARCHX models to improve predictive accuracy? (Subject: Econometrics; level: medium, approx. 6/7 pts. goal), see, e.g., this paper.

13. Discrete-time linear affine term structure models with ARCH (Subject: Fixed Income; level: medium/high, approx. 7 pts. goal), see, e.g., this paper.

14. The interest rate effects of the size and structure of government's debt and deficits (Subject: Fixed Income; level: medium, approx. 6/7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

15. A re-examination of stock return predictability based on time changed processes (Subject: Econometrics; level: very high, approx. 8 pts. goal), see, e.g., this paper.

16. The factor structure in equity options (Subject: Derivatives; level: high, approx. 7/8 pts. goal), see, e.g., this paper.

17. The effects of the presence of "bagholders" (investor who have over-paid at inception and sit on large initial losses) on the cross-section of asset prices (not only stocks) (Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this definition.

18. Consistent factor estimation in dynamic factor models with structural instability (Subject: Econometrics; level: high, approx. 7/8 pts. goal), see, e.g., this paper.

19. Dynamic modelling and forecasting of VIX and SKEW CBOE indices (Subject: Derivatives; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

20. Dynamic econometric modelling of worldwide shadow rates and their predictive power for asset returns ( Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paper.

21. Dynamic econometrics and forecasting models for international house price data (Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

22. Dynamic factor models for the cross-section of equties and their forecasting power (Subject: Asset Pricing; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

23. Dynamic Nelson-Siegel Models of the riskless yield curve and their forecasting performace at the zero-lower bound (Subject: Fixed Income; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

24. Nonparametric dynamics of state price densities for option pricing (Subject: Derivatives; level: high, approx. 7/8 pts. goal), see, e.g., this paper.

25. Macroeconomic determinants of the nominal treasury yield curve (Subject: Asset Pricing and Fixed Income; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

26. Economic policy uncertainty index and its effects on financial markets (Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

27. Empirical corporate bond pricing (Subject: Fixed Income; level: high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

28. ESG (Environment, Society, Governance) investing, factor, fashion or anomaly? (Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

29. Expectations and uncertainty measurement in Markov switching models (Subject: Econometrics; level very high, approx. 8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES

30. Large-scale portfolio allocation under transaction costs and model uncertainty (Subject: Portfolio Choice; level very high, approx. 8 pts. goal), see, e.g., this paper.

31. Hedge funds -- do they really create economic value to investors? (Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

32. Higher-order moments in optimal portfolio selection (Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

33. Climate change risks and asset prices (Subject: Asset Pricing; level high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

34. Asset pricing and portfolio choice implications of rolling window selection for out-of-sample forecasting (Subject: Econometrics; level medium/high, approx. 7 pts. goal), see, e.g., this paper.

35. Instability and breaks in preditive finance relationships (Subject: Portfolio Choice; level high, approx. 7/8 pts. goal), see, e.g., this paper.

36. Is Black-Scholes formula really dead in a forecasting and practical perspective (Subject: Derivatives; level medium/high, approx. 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

37. Is the real estate sector more responsive to economy-wide or housing market conditions (Subject: Real Estate Finance and Portfolio Choice; level: medium, approx. 6/7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

38. Crowded trades in asset pricing and portfolio choice (Subject: Portfolio Choice; level high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

39. Local Gaussian correlation in a nonlinear and alternative approaches in an empirical re-examination of contagion (Subject: Econometrics; level high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

40. Network models of contagion and non-linear association of asset returns (Subject: Portfolio Choice; level high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

41. Structured derivatives and their use in portfolio management (Subject: Derivatives; level high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

42. Pricing derivatives on fixed income securities under general processes (Subject: Derivatives; level high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

43. Repogeddon of the Fall 2019 and financial market stress (Subject: Fixed Income; level medium, approx. 6 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

44. Sentiment and social media asset pricing and ptf choice (Subject: Asset Pricing and Portfolio Choice; level: high, 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

45. A simiilarity based approach to forecasting in empirical finance (Subject: Asset Pricing and Portfolio Choice; level: very high, 8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

46. Smart beta strategies in asset management  (Subject: Asset Pricing and Portfolio Choice; level: medium/high, 7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

47. Smooth dynamic factor analysis with applications to the US term structure of interest rates (Subject: Fixed Income; level: high, 7/8 pts. goal), see, e.g., this paper.

48. Static and regime-switching weighting schemes for investment style factors (Subject: Asset Pricing and Portfolio Choice; level: medium, 6/7 pts. goal), see, e.g., this postALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

49. Estimating turning points using large data sets with applications to bull and bear market classification and forecasting  (Subject: Asset Pricing and Portfolio Choice; level: medium/high, 7 pts. goal), see, e.g., this paper

50. The yield curve and the macro-economy across time and frequencies (Subject: Fixed Income; level: medium/high, 7 pts. goal), see, e.g., this paper

51. Predictive Regressions a Present Value Approach (Subject: Asset Pricing; level: medium/high, 7 pts. goal), see, e.g., this paper

52. VAR for VaR, measuring tail dependence using multivariate tail rsk (Subject: Econometrics and Risk Management; level: medium/high, 7 pts. goal), see, e.g., this paper

Modificato il 07/11/2019