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MASSIMO GUIDOLIN

Topics for MSc. dissertations (research theses and not)

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

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 (also remotely) 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

https://didattica.unibocconi.eu/ts/tsn_anteprima.php?cod_ins=20541&anno=2020&IdPag=6203

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

1. 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.

2. 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).

3. 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).

4. Explaining and forecasting (the cross-section of) cryptocurrency returns (Subject: Asset Pricing and Portfolio Choice; level: medium/high, 7 pts. goal), see, e.g., this paper or this paperALSO AVAILABLE FOR SURVEY THESES.

5. 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.

6. 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.

7. 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.

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

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

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

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

12. 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.

13. 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.

14. 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).

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

16. 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.

17. 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).

18. 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.

19. 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

20. 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.

21. 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).

22. 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).

23. 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.

24. 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.

25. Instability and breaks in preditive finance relationships (Subject: Portfolio Choice; level high, approx. 7/8 pts. goal), see, e.g., this paper.  ALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

26. 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.

27. 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.

28. 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.

29. 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).

30. 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).

31. 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.

32. 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.

33. 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).

34. 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

35. In Markov switching model is it better to misspecify the number of regimes K' > 2 or to set K'' = 1 falsely to one? (Subject: Econometrics; level: high, 7/8 pts. goal), see, e.g., this paperTHIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

36. Quantifying the back-testing fragility of risk management models as a measure of their robustness. (Subject: Econometrics and Risk Management; level: high, 7/8 pts. goal), see, e.g., this paperTHIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

37. Are female portfolio managers empirically different vs. their male counterparts in bull vs. bear markets? (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).

38. Can we improve the risk-adjusted efficiency of sovereign bond portfolios using ESG criteria? (Subject: Portfolio Choice; level medium, approx. 6/7 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

39. Do unconventional (QE-based) vs. conventional monetary policies affect stock markets in heterogeneous ways? (Subject: Asset Pricing; level very high, approx. 7/8 pts. goal), see, e.g., this paperALSO AVAILABLE FOR SURVEY THESES.

Last change 30/11/2021