Massimo Mandelli

Education

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  Università Cattolica del Sacro Cuore

  2019 - 2021

  Laurea Magistrale LM Economia dei mercati e degli intermediari finanziari - Profilo Finanza 110/110 e Lode

  Thesis: "Machine Learning approach to portfolio optimization"Description: empirical analysis about the application - with Pyhton programming software - of different Machine Learning and Artificial Intelligence algorithms (Artificial Neural Networks and Lasso Regression) for the mean / Expected Shortfall optimization of a financial investment portfolio based on the forecasts of returns obtained through the aforementioned AI models. The optimization of the portfolio on the basis of a… Show more Thesis: "Machine Learning approach to portfolio optimization"Description: empirical analysis about the application - with Pyhton programming software - of different Machine Learning and Artificial Intelligence algorithms (Artificial Neural Networks and Lasso Regression) for the mean / Expected Shortfall optimization of a financial investment portfolio based on the forecasts of returns obtained through the aforementioned AI models. The optimization of the portfolio on the basis of a rolling window allowed the simulation and backtesting - from 2017 to 2021 - of a "buy and sell" tactical investment strategy, the performance of which was analyzed in terms of risk and return for the purposes of comparison with the performances achievable by traditional investment algorithms and strategies, both in the presence and absence of transaction costs. Show less

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  Università degli Studi di Bergamo

  2016 - 2019

  Laurea triennale in Scienze dell'Economia e della Gestione Aziendale Economia aziendale - Commercio Estero e Mercati Finanziari 104/110

  Thesis: "Determinants of Non-Performing Loans in the Italian banking system"Description: statistical and econometrical analysis which implemented the application of Panel regression model - with the aid of the R studio programming software - to define, on an empirical basis, the magnitude and direction of the influence of bank-specific variables on the stock of NPLs in the Italian banking system, from 2004 to 2015.