Optimal portfolio strategy with cross-correlation matrix composed by DCCA coefficients: Evidence from the Chinese stock market-Reference-Cited by-同舟云学术

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Optimal portfolio strategy with cross-correlation matrix composed by DCCA coefficients: Evidence from the Chinese stock market

Published:2016-02 Issue: Volume:444 Page:667-679
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Sun Xuelian,Liu Zixian

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference43 articles.

1. Portfolio selection;Markowitz;J. Finance,1952

2. Portfolio Selection;Markowitz,1959

3. Portfolio Selection: Efficient Diversification of Investment;Markowitz,1991

4. Mean–variance versus direct utility maximization;Kroll;J. Finance,1984

5. Hierarchical structure in financial markets;Mantegna;Eur. Phys. J. B,1999

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