TITLE:
The Return-Risk Performance——The Comparison of Asset Portfolio Performance of Institution Fund with That Based on Multifractal Detrended Fluctuation Approach
AUTHORS:
Xiaobo Wen, Hui Wang, Zongfang Zhou, Hua Zhang
KEYWORDS:
Multifractal Detrended Fluctuation; Asset Allocation; Institution Fund
JOURNAL NAME:
Modern Economy,
Vol.3 No.4,
July
24,
2012
ABSTRACT: In this paper, we compare the portfolio allocation model of multifractal detrended Fluctuation approach with the modern efficient frontier model and the asset allocation model from Chinese institution fund, the risk-return performance of the multifractal detrended Fluctuation 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.