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Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of portfolios selection among a vast pool of assets, as demonstrated in Fan et al. (2011). The required high-dimensional volatility matrix can be estimated by using high frequency fina...
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| Autori principali: | , , |
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| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
2012
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| Soggetti: | |
| Accesso online: | https://ncbi.nlm.nih.gov/pmc/articles/PMC3526073/ https://ncbi.nlm.nih.gov/pubmed/23264708 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1080/01621459.2012.656041 |
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