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Building multi-scale portfolios and efficient market frontiers using fractal regressions

  • Published:2019-10 Issue: Volume:532 Page:121758
  • 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:

Tilfani Oussama,Ferreira Paulo,El Boukfaoui My Youssef

Funder

FCT – Portuguese Foundation for Science and Technology

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference62 articles.

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

2. Portfolio selection: Efficient diversification of investment;Markowitz,1959

3. Portfolio optimization from under asset pricing anomalies;Chou;Japan World Economy,2004

4. Capital asset prices: A theory of market equilibrium under condition of risk;Sharpe;J. Finance,1964

5. The valuation of risk asset and the selection of risky investments in stock portfolios and capital budgets;Lintner;Rev. Econ. Statist.,1965

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