Minimum risk portfolios using MMAR

zbMATH Open1335.91069MaRDI QIDQ2804710FDOQ2804710

Authors: Alexandre Pantanella, Augusto Pianese 

Publication date: 4 May 2016

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

zbMATH Keywords

portfolio selectionrisk measureHurst's exponentmultifractal model of asset returns

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited In (3)

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

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