Before revision: A fractal approach to long-only portfolio optimization is proposed. The quantitative system is based on naive risk parity approach.
After revision: For the past two decades investors have observed long memory and highly correlated behavior of asset classes that does not fit into the framework of Modern Portfolio Theory. Custom correlation and standard deviation estimators consider normal distribution of returns and market efficiency hypothesis. It forced investors to search more universal instruments of tail risk protection. One of the possible solutions is a naive risk parity approach.