Hurst coefficient: calculation method and possibilities of use in problems of portfolio investment
Keywords:
portfolio of assets, initial structure of the portfolio, Hurst coefficient
Abstract
It is offered to form initial structure of the portfolio securities from shares that have the greatest value of Hurst coefficient. The methods of calculating of this indicator are considered
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Published
2015-04-24
How to Cite
Боровиков, И. М., Куликова, Т. В., & Тинякова, В. И. (2015). Hurst coefficient: calculation method and possibilities of use in problems of portfolio investment. Modern Economics: Problems and Solutions, 10, 125-143. Retrieved from https://journals.vsu.ru/meps/article/view/4883
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