Asset selection based on high frequency Sharpe ratio

DOI10.1016/j.jeconom.2020.05.007OpenAlexW3083691518MaRDI QIDQ2116331

Min Chen, Christina Dan Wang, Yimin Lian, Zhao Chen

Publication date: 16 March 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.05.007

zbMATH Keywords

serial correlationsure screening propertyasset selectionhigh frequency Sharpe ratioultrahigh dimensional

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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