Das, Santanu; Kumar, Ashish - In: Managerial Finance 47 (2021) 10, pp. 1448-1464
Purpose: The purpose of this study is to provide a new way to optimize a portfolio and to show that combining the Hurst exponent and wavelet analysis may help to increase portfolio returns. Design/methodology/approach: The authors use the Hurst exponent and wavelet analysis to study the...