Research Communication | Open Access
Volume 2019 | Communication ID 133
Volume 2019 | Communication ID 133
| Optimal portfolios for emerging markets : An Estimation form CAPM fractal regression |
Oussama Tilfani, Paulo Ferreira, My Youssef El Boukfaoui
Received |
Accepted |
Published |
Jan 29, 2019 |
Feb 26, 2019 |
Mar 01, 2019 |
Abstract: The mean-variance portfolio optimzation, proposed by Markowitz [1], provide a framework to construct an optimal portfolio from risk-retturn approach, the Capital Asset Pricing Model (CAPM) developed independently by [2-4], describes the relationship between an asset and the market in a simple linear manner. Beta parameters from CAPM has been widely used as inputs to Markowitz optimization procedure [5]. However both Markowitz approach and CAPM model are connected to understanding a market as efficient with respect to the efficient market hypothesis (EMH)[6]. In this paper we propose the ...