Title:

Multiscale Optimal Portfolios Using CAPM Fractal Regression: Estimation for Emerging Stock Markets

Authors:

Oussama Tilfani (Cadi Ayyad Univerisity)
Paulo Ferreira (U Évora, Inst Politécnico de Portalegre)
My Youssef El Boukfaoui (Cadi Ayyad Univerisity)

Journal:

Post Communist Economies

Year:

2020

Volume:

32

Number:

1

Pages:

77-112

JEL codes:

C58 - Financial Econometrics
G11 - Portfolio Choice; Investment Decisions
O16 - Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance

DOI:

10.1080/14631377.2019.1640983