A multiscale extension of Markowitz optimization, averaging covariance matrices across time scales, is claimed to improve out-of-sample Sharpe and drawdown versus single-scale Markowitz in a 2019-2024 US ETF backtest.
Heston, ”A closed-form solution for options with stoc hastic volatility with applications to bond and currency options,” The Review of Financial Studies , vol
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Multiscale Markowitz
A multiscale extension of Markowitz optimization, averaging covariance matrices across time scales, is claimed to improve out-of-sample Sharpe and drawdown versus single-scale Markowitz in a 2019-2024 US ETF backtest.