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RePEcPortfolio & Allocation

Fractal Analysis for Portfolio Optimization

The use of a Hurst exponent index in portfolio optimization at the Damascus Securities Exchange led to portfolios that exceeded market performance.

Featured in No. 34 on 23 Jan 2024 ·

Released
13 Apr 2023
First featured
No. 34 · 23 Jan 2024
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Identifier
RePEc:taf:oaefxx:v:11:y:2023:i:2:p:2286755

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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