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Keywords: Wavelet decomposition
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2016) 17 (3): 295–309.
Published: 16 May 2016
... performance perspective. Originality/value The authors demonstrate how investors can incorporate the multi-scale nature of returns into their portfolio decisions by applying wavelet filter techniques. Factor models Minimum-variance portfolio selection Wavelet decomposition C10 C32 G11 G15...
