Theoretical and empirical research on optimization of portfolio decision-making with co-persistence

Markowitz's Modern Portfolio Theory(MPT) is considered as the footstone of finance theory and has become the theoretical basis of invest diversification.Nevertheless static or dynamic portfolio theory cannot adequately attach importance to pivotal problem which is time-variation,cluster and persistence of financial time series.Accordingly,the paper tentatively constructs an optimal portfolio decision-making model using SV model with multiple term delays under the condition of co-persistence.We find the validity and superiority of co-persistence invest portfolio throughout comparatively analysis for 1/n invest portfolio,mean-variance portfolio model and co-persistence portfolio model,and which is of crucial significance to optimization decision-making theory's development and its application.