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The Evaluation of Mean-Detrended Cross-Correlation Analysis Portfolio Strategy for Multiple risk Assets

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Listed:
  • Xi Zhang
  • Xu Wu
  • Linlin Zhang
  • Zhonglu Chen

Abstract

The fractal characteristics of the security market were considered in portfolio strategy optimization. First, the detrended cross-correlation analysis was adopted to measure the fractal correlation of different securities. Second, the fractal correlation was embedded into the mean-variance criterion of the modern portfolio theory. Third, the mean-detrended cross-correlation analysis portfolio strategy of multiple risk assets was constructed, and the analytic solution of the strategy was given. Finally, the evaluation results revealed that the constructed the mean-detrended cross-correlation analysis portfolio strategy clearly improved investment performance, thus achieving the goal of optimizing the multiple risk asset portfolio strategy.

Suggested Citation

  • Xi Zhang & Xu Wu & Linlin Zhang & Zhonglu Chen, 2022. "The Evaluation of Mean-Detrended Cross-Correlation Analysis Portfolio Strategy for Multiple risk Assets," Evaluation Review, , vol. 46(2), pages 138-164, April.
    • Handle: RePEc:sae:evarev:v:46:y:2022:i:2:p:138-164
    DOI: 10.1177/0193841X221078642
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    References listed on IDEAS

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