What is it about?
The aim of this paper, is to construct a multiscale portfolio using Markowitz procedure based on CAPM regression. This new techniques applied to a developped market (Germany) which is compared with Post communist economies (China, Russia, Croatia, Czech Republic...)
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Why is it important?
We use a fractal regression to estimate CAPM parameters, which are used as input in Markowitz procedure rather than naif returns. We sue a DCCA covariance, to allow a mulltiscale variance as risk proxy. We analyze our results by referring to Fractal Market Hypothesis
Perspectives
This technique can be used in several market stages (crisis, non crisis) in orde to comparer. Given the power of Fractal Market Hypothesis, it will be intersting to study the power of other tehcniques used in the litterature of financial markets in the light of multiscale behavior.
TILFANI Oussama
Cadi Ayyad University
Read the Original
This page is a summary of: Multiscale optimal portfolios using CAPM fractal regression: estimation for emerging stock markets, Post-Communist Economies, August 2019, Taylor & Francis,
DOI: 10.1080/14631377.2019.1640983.
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