Research on portfolio optimization under asymmetric power-law distribution of return tail

DOI10.1063/5.0124695MaRDI QIDQ6571812zbMATH OpenFDO

Authors Qianying Feng, Xu Wu, Linlin Zhang, Jia Li

Publication date 12 July 2024

Published in Chaos (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1063/5.0124695

Mathematics Subject Classification ID

Ordinary differential equations (34-XX) Dynamical systems and ergodic theory (37-XX)

Cites work

• Asymmetric heavy-tailed vector auto-regressive processes with application to financial data
• Building multi-scale portfolios and efficient market frontiers using fractal regressions
• Fractal structure in the S\&P500: a correlation-based threshold network approach
• scientific article; zbMATH DE number 1994007 (Why is no real title available?)
• Multi-period portfolio selection with drawdown control
• Multiscale adaptive multifractal analysis and its applications
• Nonlinear dynamics in economics and finance
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
• Portfolio selection: a review
• Stochastic models for risk estimation in volatile markets: a survey

Cited in

(2)

• Complex systems and inter/transdisciplinary research: a review
• Multi-asset portfolio model optimization based on mean multifractal detrended cross correlation analysis

This page was built for publication: Research on portfolio optimization under asymmetric power-law distribution of return tail

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6571812)