STUDY ON PORTFOLIO MODEL UNDER BACKGROUND RISK AND FRACTAL MARKET

DOI10.1142/S0218348X21502625zbMath1492.91328MaRDI QIDQ5082125

Jingcheng Gu, Zhengjie Chun, Lan Luo, Xu Wu, Hesen Li

Publication date: 15 June 2022

Published in: Fractals (Search for Journal in Brave)

zbMATH Keywords

background riskfractal correlationfractal portfolio modelmean-DCCA

Mathematics Subject Classification ID

Fractals (28A80) Portfolio theory (91G10)

Cites Work

• Fractal market hypothesis and two power-laws
• Optimal portfolio and background risk: an exact and an approximated solution.
• Mean-risk model for uncertain portfolio selection with background risk
• Building multi-scale portfolios and efficient market frontiers using fractal regressions
• Beyond expected utility: subjective risk aversion and optimal portfolio choice under convex shortfall risk measures
• Research on the portfolio model based on mean-MF-DCCA under multifractal feature constraint
• Uncertain portfolio selection with mental accounts and background risk
• Multifractal returns and hierarchical portfolio theory
• Dynamic portfolio optimization across hidden market regimes

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