Research on Mean-PDCCA Portfolio Strategy Under Fractal Correlation of Asset Return
Accurately measuring the correlation between assets is a prerequisite for building an effective portfolio model.In view of the reality of the fractal correlation of asset return,this paper firstly constructs the fractal correlation statistical measure by detrendeding cross correlation analysis(DCCA)and other methods to measure the correlation between assets.Then,by incorporating the fractal correlation statis-tical measure into the return-risk criterion,a portfolio model Mean-PDCCA(fractal portfolio model)under multi-time scale preposition is constructed,and the analyt-ical solution of the model is given.Finally,the empirical analysis finds that under the constraint of typical facts with fractal correlation of asset return,fractal invest-ment portfolio is superior to traditional investment portfolio on the whole,which can not only improve investment performance,but also have better robustness,providing effective decision-making reference for investors.
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