Bocconi Students Association
We are proud to present the report from our Quantitative Research division! During this semester the Quantitative Research team explored coherent risk measures and their mathematical properties. In this report they focus on the Conditional VaR and outline a practical framework for its estimation, that is...
The ultimate goal of this Fund is to achieve long-term growth whilst controlling volatility. To that end, this portfolio comprises a multitude of highly diversified securities with the possibility, in exceptional cases, to take short-term speculative positions. To ensure high diversification, the Fund is spread...
The ultimate goal of the Fund is to achieve long-term capital growth by outperforming its benchmark. This portfolio has been built to be compliant with a PIR strategy, which grants investors considerable fiscal benefits provided some criteria are met. To ensure a higher level of diversification,...
The fund is composed of a range of Exchange Traded Funds selected by the Portfolio and Quantitative Research teams. These ETFs aim at replicating as closely as possible the performance of a basket of securities with specific common properties, thus being effective instruments for investors...
The fund is actively managed by Minerva IMS, based on a zero-net investment «multi-factor» strategy. The long-short structure implies a market-neutral exposure and limited correlation to the main market indexes, while the investment strategy is based on a «multi-factor» quantitative proprietary model designed to achieve...
The paper is focused on options pricing methods using Monte Carlo simulations, exploring the theory and practice of different Monte Carlo methods for valuing options contracts, with a particular focus on Asian and Barrier Options....
The fund is composed of a range of Exchange Traded Funds selected by the Portfolio and Quantitative Research (Risk) teams. These ETFs aim to replicate as closely as possible the performance of a basket of securities with specific common properties, thus being effective instruments for...
The Italian Equity PIR Fund is an actively managed fund by Minerva Investment Management Society, exclusively made of Italian Equity and following an investment solution known as PIR, Piano Individuale di Risparmio (Individual Savings Plan), which allows to benefit from considerable fiscal advantages. To qualify...
The ultimate goal of this Fund is to achieve long-term growth whilst controlling volatility. To that end, this portfolio comprises a multitude of highly diversified securities with the possibility, in exceptional cases, to take short-term speculative positions. To ensure high diversification, the Fund is spread...
The fund is actively managed by Minerva IMS, based on a zero-net investment «multi-factor» strategy. The long-short structure implies a market-neutral exposure and limited correlation to the main market indexes while the investment strategy is based on a «multi-factor» quantitative proprietary model design to achieve...
The fund is actively managed by Minerva IMS, based on a zero-net investment «multi-factor» strategy. The long-short structure implies a market-neutral exposure and limited correlation to the main market indexes while the investment strategy is based on a «multi-factor» quantitative proprietary model design to achieve...
The fund is composed of a range of Exchange Traded Funds selected by the Portfolio and Quantitative Research (Risk) teams. These ETFs aim to replicate as closely as possible the performance of a basket of securities with specific common properties, thus being effective instruments for...
The ultimate goal of this Fund is to achieve long-term growth whilst controlling volatility. To that end, this portfolio comprises a multitude of highly diversified securities with the possibility, in exceptional cases, to take short-term speculative positions. To ensure high diversification, the Fund is spread...
The ultimate goal of this Fund is to achieve long-term growth whilst controlling volatility. To that end, this portfolio comprises a multitude of highly diversified securities with the possibility, in exceptional cases, to take short-term speculative positions. To ensure high diversification, the Fund is spread...
The fund is actively managed by Minerva IMS, based on a zero-net investment «multi-factor» strategy. The long-short structure implies market neutral exposure and limited correlation to the main market indexes while the investment strategy is based on a «multi-factor» quantitative proprietary model design to achieve...
The fund is composed of a range of Exchange Traded Funds selected by the Portfolio and Quantitative Research (Risk) teams. These ETFs aim to replicate as closely as possible the performance of a basket of securities with specific common properties, thus being effective instruments for...
MIMS – Multi Asset Global Opportunities Fund is an actively managed fund by Minerva Investment Management Society, based on environmental, social, and governance (ESG) criteria. The ultimate goal of this portfolio is to achieve long-term growth whilst controlling volatility. To that end, this fund will be comprised of a multitude of...
The Passive Fund is composed by a number of Exchange Traded Funds selected by Minerva Investment Management Society, reflecting the output of the research of the Passive Portfolio Team. These ETFs aim to replicate as closely as possible the performance of a basket of securities...
The fund aims to generate a positive absolute return throughout all market conditions. The strategy adopts a «multi-factor» quantitative proprietary model in order to achieve a systematic, rule-based approach to stock selection. The long-short structure implies market neutral exposure and limited correlation to the main...
MIMS – Multi Asset Global Opportunities Fund is an actively managed fund by Minerva Investment Management Society, based on environmental, social, and governance (ESG) criteria. The ultimate goal of this portfolio is to achieve long-term growth whilst controlling volatility. To that end, this fund will be comprised of a multitude of...
The Passive Fund is composed by a number of Exchange Traded Funds selected by Minerva Investment Management Society, reflecting the output of the research of the Passive Portfolio Team. These ETFs aim to replicate as closely as possible the performance of a basket of securities with specific common properties, thus...
EVT is a branch of Statistics that deals with extreme deviations from the median of probability distributions. This theory tries to give a description for heavy tailed distributions like the ones of financial markets. In this report we are going to review and implement two...
As 2020 is approaching to end, it is natural to look back and examine how this challenging year affected our lives and brought new disruptive forces in our society and economy. From an investor perspective, the Covid-19 pandemic was an extraordinary experience in terms of...
MIMS – Multi Asset Global Opportunities Fund is an actively-managed fund by Minerva Investment Management Society targeting long term capital appreciation. The ultimate goal of this Fund is to achieve long term growth whilst controlling volatility. To that end, this portfolio comprises a multitude of...
MIMS - Diversified Passive Selection Fund is composed by a range of Exchange Traded Funds selected by Minerva Investment Management Society. These ETFs aim to replicate as closely as possible the performance of a basket of securities with specific common properties, thus being effective instruments...
MIMS – Long-Short Equity Fund is an actively-managed fund by Minerva IMS, based on a zero-net investment «multi-factor» strategy.The long-short structure implies market neutral exposure and limited correlation to the main market indexes while the investment strategy is based on a «multi-factor» quantitative proprietary model...
Since the outbreak of the COVID-19 to the country lockdowns, many analysts compared the current crisis to the one of 2008. In this article we analyse and compare the two market turmoils from a risk management perspective and through python programming language. The quantitative analysis has...
Is Wall Street's "fear gauge" back? Here some interesting movements in the implied volatility curve of some heavily traded stocks....
Risk Management - Report #1 2019...
Risk Management - Report #1 2018...
Investment and risk strategy_PDF...
