Portfolio Optimization at Damascus Securities Exchange: A Fractal Analysis Approach

  • 27 Jan 2024
  • Ongoing Research - Business

Sulaiman Mouselli and Kinda Duba


Post Graduate Studies & Research Council Meeting No. 7, 14/8/2023

Date of Acceptance


This paper adopts the fractal analysis approach, specifically the Hurst Exponent index in portfolio optimization at Damascus Securities Exchange (DSE). We will construct three portfolios based on the Hurst index from stocks listed at DSE during the period between 2019 and 2021 and examine the performance of three formed portfolios in comparison to the market portfolio in terms of risk and return.