Dynamic Black–Litterman Portfolios Incorporating Asymmetric Fractal Uncertainty
This study investigates the profitability of portfolios that integrate asymmetric fractality within the Black–Litterman (BL) framework. It predicts 10-day-ahead exchange-traded fund (ETF) prices using recurrent neural networks (RNNs) based on historical price information and technical indicators; th...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-10-01
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| Series: | Fractal and Fractional |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2504-3110/8/11/642 |
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