Large portfolio allocation using high-frequency financial data

DOI10.4310/SII.2018.V11.N1.A12OpenAlexW2746517603MaRDI QIDQ1782099

Yichao Wu, Jian Zou, Fangfang Wang

Publication date: 18 September 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2018.v11.n1.a12

zbMATH Keywords

regularizationhigh-frequency datarisk managementportfolio allocationvolatility matrix estimation

Mathematics Subject Classification ID

Statistics (62-XX)

This page was built for publication: Large portfolio allocation using high-frequency financial data