STUDY ON PORTFOLIO MODEL UNDER BACKGROUND RISK AND FRACTAL MARKET

Hesen Li, Jingcheng Gu, Zhengjie Chun, Lan Luo and Xu Wu
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Hesen Li: School of Management Science, Chengdu University of Technology, Chengdu, Sichuan, P. R. China
Jingcheng Gu: ��School of Business, Chengdu University of Technology, Chengdu, Sichuan, P. R. China‡Sichuan Provincial Branch, China Construction Bank, Chengdu, Sichuan, P. R. China
Zhengjie Chun: School of Management Science, Chengdu University of Technology, Chengdu, Sichuan, P. R. China
Lan Luo: ��School of Business, Chengdu University of Technology, Chengdu, Sichuan, P. R. China
Xu Wu: ��School of Business, Chengdu University of Technology, Chengdu, Sichuan, P. R. China

FRACTALS (fractals), 2021, vol. 29, issue 08, 1-11

Abstract: In view of the necessity of optimizing portfolio models under a combination of the fractal market and the background risk, this paper incorporates the fractal correlations and background risk into the research framework of portfolio model optimization. Then the portfolio model under background risk and fractal market (PBF) is constructed, and the analytical formula of the model is given. Based on this, the empirical results not only illustrate the efficiency of PBF but also show that PBF can improve the yield and risk-adjusted portfolio performance. According to the research results, PBF can provide a more efficient reference for people to make decisions on the investment portfolio.

Keywords: Background Risk; Fractal Portfolio Model; Mean-DCCA; Fractal Correlation (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1142/S0218348X21502625

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