Research on the portfolio model based on mean-MF-DCCA under multifractal feature constraint
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Publication:2223795
DOI10.1016/J.CAM.2020.113264zbMATH Open1457.91346OpenAlexW3097543051MaRDI QIDQ2223795FDOQ2223795
Authors: J. Li, Xu Wu, Qianying Feng, Linlin Zhang 
Publication date: 3 February 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2020.113264
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Cites Work
- Multifractal detrended fluctuation analysis of nonstationary time series
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
- Financial power laws: empirical evidence, models, and mechanisms
- Portfolio selection: a review
- Fast gradient descent method for mean-CVaR optimization
- Dynamic portfolio choice without cash
- Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
- On the use of conditional expectation in portfolio selection problems
- Two-dimensional multifractal cross-correlation analysis
Cited In (7)
- Investigation of multifractal features of the relationship between price and volume in international carbon market
- The research on multi-resolution characteristics of investment portfolio value at risk based on a double factor pricing model
- How to construct a lower risk FOF based on correlation network? The method of principal component risk parity asset allocation
- Study on portfolio model under background risk and fractal market
- Multifractal model of portfolio optimization and its empirical analysis
- Multi-asset portfolio model optimization based on mean multifractal detrended cross correlation analysis
- Model optimization of cryptocurrency portfolio based on EMD denoising and DCCA methods
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