Risk Diversification Portfolio Construction Using Discrete Hilbert Transform

Wahyuni Ekasasmita (), Muh. Rifki Nisardi, Nur Rahmi, Kusnaeni Kusnaeni and Hartina Husain
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Wahyuni Ekasasmita: Institut Teknologi B.J. Habibie
Muh. Rifki Nisardi: Institut Teknologi B.J. Habibie
Nur Rahmi: Institut Teknologi B.J. Habibie
Kusnaeni Kusnaeni: Institut Teknologi B.J. Habibie
Hartina Husain: Institut Teknologi B.J. Habibie

A chapter in Proceedings of the 9th International Conference on Accounting, Management, and Economics 2024 (ICAME 2024), 2025, pp 2359-2370 from Springer

Abstract: Abstract This paper introduces the Discrete Hilbert Transform (DHT) as a tool for enhancing risk diversification in portfolio construction. DHT, a mathematical technique typically used in signal processing, is applied to financial data to identify dynamic market signals. By analyzing asset returns through the frequency domain, DHT enables investors to detect hidden risks that traditional models might overlook. This research compares portfolios constructed using DHT with those optimized via the conventional Mean-Variance method. The findings demonstrate that DHT-based portfolios provide better risk-adjusted returns, reduced volatility, and improved resilience during market fluctuations. The use of DHT allows for more adaptive and responsive portfolio adjustments, particularly in volatile conditions. This study contributes to the growing body of literature on applying advanced mathematical models to finance, offering practical insights for portfolio managers seeking to optimize risk diversification.

Keywords: Discrete Hilbert Transform; risk diversification; portfolio construction; asset returns; financial risk management (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-758-8_188

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DOI: 10.2991/978-94-6463-758-8_188

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