Abstract
In this study, the multifractal detrended moving-average cross-correlation analysis (MF-X-DMA) is combined with the Mean-Semi-Variance model to establish a Mean-MF-X-DMA model. This model is used to construct portfolio strategies by the stocks with the larger market value in each sector of the Standard and Poor's 500 Index (S&P 500). The empirical test shows that: firstly, there are long memory and obvious multifractal characteristics in each stock returns; secondly, the portfolio strategy based on Mean-MF-X-DMA model performs better than the traditional portfolio model, such as returns, Sharpe ratio, βcoefficient and utility for different risk preference investors; finally, the risk will be lower when the time scale is smaller under the same expected returns.
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