The paper substitutes detrended cross-correlation functions for covariance in a mean-variance portfolio model and claims better performance on Chinese indices, but the evidence is in-sample and the analytical solution appears flawed.
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Research on Optimal Portfolio Based on Multifractal Features
The paper substitutes detrended cross-correlation functions for covariance in a mean-variance portfolio model and claims better performance on Chinese indices, but the evidence is in-sample and the analytical solution appears flawed.