Dooba, Kinda; Mouselli, Sulaiman - In: Cogent economics & finance 11 (2023) 2, pp. 1-16
This paper adopts the fractal analysis approach, specifically a Hurst exponent index in portfolio optimization at the Damascus Securities Exchange (DSE). We construct three portfolios based on the Hurst index from stocks listed on the DSE during the period between 2019 and 2021 and find that...