Risk Diversification Portfolio Construction Using Discrete Hilbert Transform

Wahyuni Ekasasmita; Muh. Rifki Nisardi; Nur Rahmi; Kusnaeni Kusnaeni; Hartina Husain

doi:10.2991/978-94-6463-758-8_188

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Risk Diversification Portfolio Construction Using Discrete Hilbert Transform

Authors

Wahyuni Ekasasmita¹^{, *}, Muh. Rifki Nisardi¹, Nur Rahmi¹, Kusnaeni Kusnaeni¹, Hartina Husain¹

¹Institut Teknologi B.J. Habibie, Parepare, Indonesia

^*Corresponding author. Email: wahyuni.ekasasmita@ith.ac.id

Corresponding Author

Wahyuni Ekasasmita

Available Online 30 July 2025.

DOI: 10.2991/978-94-6463-758-8_188 How to use a DOI?
Keywords: Discrete Hilbert Transform; risk diversification; portfolio construction; asset returns; financial risk management
Abstract: This paper introduces the Discrete Hilbert Transform (DHT) as a tool for enhancing risk diversification in portfolio construction. DHT, a mathematical technique typically used in signal processing, is applied to financial data to identify dynamic market signals. By analyzing asset returns through the frequency domain, DHT enables investors to detect hidden risks that traditional models might overlook. This research compares portfolios constructed using DHT with those optimized via the conventional Mean-Variance method. The findings demonstrate that DHT-based portfolios provide better risk-adjusted returns, reduced volatility, and improved resilience during market fluctuations. The use of DHT allows for more adaptive and responsive portfolio adjustments, particularly in volatile conditions. This study contributes to the growing body of literature on applying advanced mathematical models to finance, offering practical insights for portfolio managers seeking to optimize risk diversification.
Copyright: © 2025 The Author(s)
Open Access: Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title: Proceedings of the 9th International Conference on Accounting, Management, and Economics 2024 (ICAME 2024)
Series: Advances in Economics, Business and Management Research
Publication Date: 30 July 2025
ISBN: 978-94-6463-758-8
ISSN: 2352-5428
DOI: 10.2991/978-94-6463-758-8_188 How to use a DOI?
Open Access: Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

ris enw bib

TY  - CONF
AU  - Wahyuni Ekasasmita
AU  - Muh. Rifki Nisardi
AU  - Nur Rahmi
AU  - Kusnaeni Kusnaeni
AU  - Hartina Husain
PY  - 2025
DA  - 2025/07/30
TI  - Risk Diversification Portfolio Construction Using Discrete Hilbert Transform
BT  - Proceedings of the 9th International Conference on Accounting, Management, and Economics 2024 (ICAME 2024)
PB  - Atlantis Press
SP  - 2359
EP  - 2370
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-758-8_188
DO  - 10.2991/978-94-6463-758-8_188
ID  - Ekasasmita2025
ER  -

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