Abstract
Under the realistic background that the capital market nowadays is a fractal market, this paper embeds the detrended cross-correlation analysis (DCCA) into the return-risk criterion to construct a Mean-DCCA portfolio model, and gives an analytical solution. Based on this, the validity of Mean-DCCA portfolio model is verified by empirical analysis. Compared to the mean-variance portfolio model, the Mean-DCCA portfolio model is more conducive for investors to build a sophisticated investment portfolio under multi-time-scale, improve the performance of portfolios, and overcome the defect that the mean-variance portfolio model has not considered the existence of fractal correlation characteristics between assets.
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