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- W2378415052 abstract "Both stock selection and optimal portfolio choice play crucial roles in setting portfolio.This paper proposed a new method for stock selection based on constructing a Sharpe index using intra-day high frequency data.Several portfolio strategics are considered too.An out-of-sample empirical analysis with respect to a sample of A shares listed on Shanghai stock exchange shows that the new stock selection method often offers higher risk-adjusted returns and lower levels of risk.Moreover,combined with optimal portfolio strategy,the new method can get considerable excess returns." @default.
- W2378415052 created "2016-06-24" @default.
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- W2378415052 date "2015-01-01" @default.
- W2378415052 modified "2023-09-26" @default.
- W2378415052 title "Portfolio selection based on a new constructed Sharpe index using high frequency data" @default.
- W2378415052 hasPublicationYear "2015" @default.
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