Model optimization of cryptocurrency portfolio based on EMD denoising and DCCA methods

DOI10.13878/J.CNKI.JNUIST.2021.03.015MaRDI QIDQ5017120zbMATH OpenFDO

Authors XingYu Zhang, Guangxi Cao

Publication date 17 December 2021

Full work available at URL https://doi.org/10.13878/J.CNKI.JNUIST.2021.03.015

zbMATH Keywords

cryptocurrencyempirical mode decompositionfractalportfolio

Mathematics Subject Classification ID

Fractals (28A80) Portfolio theory (91G10)

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(4)

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• Research on the portfolio model based on mean-MF-DCCA under multifractal feature constraint
• How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality
• Multi-asset portfolio model optimization based on mean multifractal detrended cross correlation analysis

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