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.
Peters, Fractal Market Analysis: Applying Chaos Theory to Investme nt and Economics , John Wiley & Sons, 1994
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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.