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Title: The Return-Risk Performance——The Comparison of Asset Portfolio Performance of Institution Fund with that Based on Multifractal Detrended Flucutation Approach
Source: International Conference on Engineering and Business Management 2012(Part 4 Urban Management and Financial Investment) (pp 3101-3103)
Author(s): Hui Wang, School of Management and Economics, UESTC, China;School of Physics and Electronics, UESTC, China
Luojie Xiang, School of Computer Science, UESTC, China
Zongfang Zhou, School of Management and Economics, UESTC, China
Heping Pan, Prediction Research Centre of UESTC, China
Abstract: In this paper, we compare the portfolio allocation model of multifractal detrended flucutation approach with the modern efficient frontier model and the asset allocation model from Chinese institution fund, the risk-return performance of the multifractal detrended flucutation turns out to be more optimal portfolio allocation than that from chinese institution fund . and the conclusions have implications for modern financial theory , it suggest that there is scope for more general multifractal portfolio selection models to be developed.
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