Inferring multi-period optimal portfolios via detrending moving average cluster entropy (a) Contribution to the Focus Issue Progress on Statistical Physics and Complexity edited by Roberta Citro, Giorgio Kaniadakis, Claudio Guarcello, Antonio Maria Scarfone and Davide Valenti.

@article{Murialdo2021InferringMO,
  title={Inferring multi-period optimal portfolios via detrending moving average cluster entropy (a) Contribution to the Focus Issue Progress on Statistical Physics and Complexity edited by Roberta Citro, Giorgio Kaniadakis, Claudio Guarcello, Antonio Maria Scarfone and Davide Valenti.},
  author={Pietro Murialdo and Linda Ponta and Anna Carbone},
  journal={Europhysics Letters},
  year={2021},
  volume={133}
}
Despite half a century of research, there is still no general agreement about the optimal approach to build a robust multi-period portfolio. We address this question by proposing the detrended cluster entropy approach to estimate the weights of a portfolio of high-frequency market indices. The information measure gathered from the markets produces reliable estimates of the weights at varying temporal horizons. The portfolio exhibits a high level of diversity, robustness and stability as not… Expand

References

SHOWING 1-10 OF 39 REFERENCES
Scaling properties of long-range correlated noisy signals: appplication to financial markets
  • A. Carbone, G. Castelli
  • Mathematics, Engineering
  • SPIE International Symposium on Fluctuations and Noise
  • 2003
Long-range correlation properties of financial stochastic time series y have been investigated with the main aim to demonstrate the ability of a recently proposed method to extract the scalingExpand
A Diversification Measure for Portfolios of Risky Assets
The benefits of diversification are well known and indeed diversification is frequently applied in real-life portfolio optimization. The first proof of portfolio diversification is given by MarkowitzExpand
Why Stock Markets Crash: Critical Events in Complex Financial Systems
Why Stock Markets Crash: Critical Events in Complex Financial Systems, by Didier Sornette, 2003, Princeton, NJ: Princeton University Press Consider the following events: a pressure tank within aExpand
Risk and asset allocation
The statistics of asset allocation.- Univariate statistics.- Multivariate statistics.- Modeling the market.- Classical asset allocation.- Estimating the distribution of the market invariants.-Expand
Expert Systems
This chapter explains the meaning of basic terms and concepts related to expert systems, describes the architecture and functions of an expert system, and the conditions under which the building orExpand
A.Physica A: Statistical Mechanics and its Applications2021125777
  • 2021
H.Communications in Statistics- Theory and Methods20201
  • 2020
Knowledge-Based Syst
  • 2020
...
1
2
3
4
...