Multi-asset portfolio model optimization based on mean multifractal detrended cross correlation analysis
| Autor: | Hesen Li, Weide Chun, Xu Wu, Lan Luo |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2024 |
| Předmět: | |
| Zdroj: | Mathematical and Computer Modelling of Dynamical Systems, Vol 30, Iss 1, Pp 736-757 (2024) |
| Druh dokumentu: | article |
| ISSN: | 13873954 1744-5051 1387-3954 |
| DOI: | 10.1080/13873954.2024.2387938 |
| Popis: | In order to make the constructed investment portfolio model better adapt to the actual securities market, this paper incorporates the multifractal correlations into the portfolio model of multi-risk assets optimization. On the basis of using variable detrended covariance to measure multifractal correlations, the variable detrended covariance is embedded into the reward-risk criterion, the mean multifractal detrended cross correlation analysis portfolio (M-D) model of multi-risk assets is constructed, and the analytical solution of the M-D model of multi-risk assets is given. The empirical analysis shows that the M-D model not only can improve investment performance but also meet the return-risk criterion much more, reaching the goal of optimizing the multi-risk asset portfolio model. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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