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Inferring Multi-Period Optimal Portfolios via Detrending Moving Average Cluster Entropy
Despite half a century of research, there is still no general agreement about the optimal approach to build a robust multi-period portfolio.
Quantifying horizon dependence of asset prices: a cluster entropy approach
A systematic dependence of the cluster entropy $S(\tau, n)$ and the Market Dynamic Index $I(M, n)$ on the temporal horizon $M$ is evidenced.
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