The Evaluation of Mean-Detrended Cross-Correlation Analysis Portfolio Strategy for Multiple risk Assets

Xi Zhang, Xu Wu, Linlin Zhang and Zhonglu Chen

Evaluation Review, 2022, vol. 46, issue 2, 138-164

Abstract: The fractal characteristics of the security market were considered in portfolio strategy optimization. First, the detrended cross-correlation analysis was adopted to measure the fractal correlation of different securities. Second, the fractal correlation was embedded into the mean-variance criterion of the modern portfolio theory. Third, the mean-detrended cross-correlation analysis portfolio strategy of multiple risk assets was constructed, and the analytic solution of the strategy was given. Finally, the evaluation results revealed that the constructed the mean-detrended cross-correlation analysis portfolio strategy clearly improved investment performance, thus achieving the goal of optimizing the multiple risk asset portfolio strategy.

Keywords: portfolio strategy optimization; detrended cross-correlation analysis; mean-variance criterion; fractal characteristic (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:evarev:v:46:y:2022:i:2:p:138-164

DOI: 10.1177/0193841X221078642

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