Fractal statistical measure and portfolio model optimization under power-law distribution
Xu Wu, Linlin Zhang, Jia Li, Ruzhen Yan
| Year of publication: |
2021
|
|---|---|
| Authors: | Wu, Xu ; Zhang, Linlin ; Li, Jia ; Yan, Ruzhen |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 58.2021, p. 1-11
|
| Subject: | Fractal expectation | Fractal variance | Portfolio selection model | Power-law distribution | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2021.101496 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013186577