Research on the portfolio model based on mean-MF-DCCA under multifractal feature constraint

DOI10.1016/J.CAM.2020.113264MaRDI QIDQ2223795zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

multifractal correlationportfolio modelMF-DCCAmultifractal fluctuations

Mathematics Subject Classification ID

Portfolio theory (91G10) Fractals (28A80) Financial applications of other theories (91G80)

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Cites work

• Dynamic portfolio choice without cash
• Fast gradient descent method for mean-CVaR optimization
• Financial power laws: empirical evidence, models, and mechanisms
• Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures
• Multifractal detrended fluctuation analysis of nonstationary time series
• On the use of conditional expectation in portfolio selection problems
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
• Portfolio selection: a review
• 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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