Minimum risk portfolios using MMAR

MaRDI QIDQ2804710zbMATHFDO

Authors Alexandre Pantanella, Augusto Pianese

Publication date 4 May 2016

zbMATH Keywords

portfolio selectionrisk measureHurst's exponentmultifractal model of asset returns

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Multifractal model of portfolio optimization and its empirical analysis
• Multifractal returns and hierarchical portfolio theory
• Optimality and robustness of a minimax portfolio
• Portfolio management with stable distributions
• Optimal portfolios of mean-reverting instruments

Cited in

(3)

• Multifractal model of portfolio optimization and its empirical analysis
• Multifractal returns and hierarchical portfolio theory
• Utilizing risk minimization for portfolio management

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