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 … performance of the portfolio. Importantly, even in out-of-sample tests, the three fractal portfolios continue to outperform the … market portfolio. Furthermore, we find that fractal portfolios outperform portfolios formed using the momentum and size …