Gestione del portafoglio di investimenti e revisione dell'applicazione dei modelli matematici per l'allocazione ottimale del capitale

This paper presents a survey of key theories in securities portfolio management, tracing their chronological evolution and addressing the primary concern of maximizing returns for savers and economists. General concepts are employed to outline these models, providing readers with a comprehensive understanding. The first chapter introduces Portfolio Construction, defining concepts like asset allocation and risk management while exploring the characteristics of asset management and the role of individual investors. The second chapter delves into major portfolio management models, including Harry Markowitz's revolutionary diversification-based model and the widely-used Capital Asset Pricing Model (CAPM). Additionally, the innovative Black and Litterman Model, developed by Fischer Black and Robert Litterman, is examined for its ability to incorporate subjective forecasts. A practical case study further illustrates the procedures of this model, shedding light on its practical application.