Application of markovits portfolio in the technical analysis of the financial market in the conditions of fractal hypothesis

Abstract

Purpose: to show that the investment portfolio as a tool of fundamental analysis can be effectively used in technical analysis under the conditions of the fractal market hypothesis on the example of the Markowitz portfolio. Discussion: the investment portfolio is a fundamental analysis tool. However, the development of the theory of financial markets, the emergence and establishment of the hypothesis of a fractal market set a new task – the integration of instruments of fundamental and technical analysis. Under the conditions of the fractal hypothesis, the price of one asset in different investment horizons can be considered as a set of assets. Therefore, the investment portfolio can now be viewed not as an aggregate of different assets, but as an investment in one asset on different investment horizons. The author has shown that such integration is possible not only theoretically, but also proved in practice. Results: the article contains calculations that prove that the Markowitz portfolio can be used in a technical analysis under the conditions of a fractal hypothesis.