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| Portfolio Selection Using Fractal Statistical Measures |
| WU Xu1, YAN Ruzhen1, WANG Xuefei1, LI Jia2
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1.School of Business,Chengdu University of Technology,Chengdu 610059,China;
2.School of Economics and Statistics, Guangzhou University, Guangzhou 510006, China |
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Abstract In order to improve the effectiveness of portfolio selection, we firstly construct the statistical measures of fractal expectation and fractal variance, and give the algorithm of two fractal statistical measures. Secondly, a fractal portfolio selection model is built based on the fractal statistical measures and an analytical solution for fractal portfolio selection model is calculated. Lastly, drawing the sample of all industrial indexes from Shanghai Stock Exchange, we verify the feasibility of constructing portfolio selection model using two fractal statistical measures. The empirical results demonstrate that fractal statistical measures make up the defect of the non-fractal statistical measure’s disability to measure the return and risks of stocks accurately, and the fractal portfolio model is more effective in diversifying risks while ensuring returns.
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Received: 21 July 2017
Published: 31 January 2019
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