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Do High-Frequency Data Improve High-Dimensional Portfolio Allocations? · Study

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PreprintDo High-Frequency Data Improve High-Dimensional Portfolio Allocations?

Nikolaus Hautsch2013

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Preprintgreen2013

Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?

Nikolaus Hautsch · Lada M. Kyj · Peter Malec

29 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1993Common risk factors in the returns on stocks and bonds 1952PORTFOLIO SELECTION*2002Dynamic Conditional Correlation 2002Determining the Number of Factors in Approximate Factor Models 2003Modeling and Forecasting Realized Volatility 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?1988A Capital Asset Pricing Model with Time-Varying Covariances 1980On estimating the expected return on the market

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2013Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?article · 46 shared references 2013Financial Risk Measurement for Financial Risk Managementchapter · 23 shared references 2012Financial Risk Measurement for Financial Risk Managementreport · 20 shared references 2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisionsarticle · 20 shared references 2015Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choicearticle · 18 shared references 2019Large-scale portfolio allocation under transaction costs and model uncertaintyarticle · 17 shared references

Details

Year2013

Typepreprint

Published2013-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations29

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.2228772

openalex_workW2109957447

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