How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality

DOI10.1080/14697688.2023.2266448zbMath1530.91523OpenAlexW4387899003MaRDI QIDQ6067801

Unnamed Author, Unnamed Author

Publication date: 14 December 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2023.2266448

zbMATH Keywords

multifractalitymarket efficiencyportfolio allocationcryptocurrencyMF-DFA

Mathematics Subject Classification ID

Fractals (28A80) Portfolio theory (91G10)

Cites Work

• Estimation of the global minimum variance portfolio in high dimensions
• Multifractal detrended fluctuation analysis of nonstationary time series
• Use of DEA cross-efficiency evaluation in portfolio selection: an application to Korean stock market
• Dominating estimators for minimum-variance portfolios
• An estimation model of value-at-risk portfolio under uncertainty
• Bayesian estimation of the global minimum variance portfolio
• Neural network-based mean-variance-skewness model for portfolio selection
• A statistical test of market efficiency based on information theory

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