Matches in SemOpenAlex for { <https://semopenalex.org/work/W98984190> ?p ?o ?g. }
Showing items 1 to 56 of
56
with 100 items per page.
- W98984190 endingPage "22" @default.
- W98984190 startingPage "13" @default.
- W98984190 abstract "Portfolio allocation is one of the most fundamental problems in finance. The process of determining the optimal mix of assets to hold in the portfolio is a very important issue in risk management. It involves dividing an investment portfolio among different assets based on the volatilities of the asset returns. In the recent decades, it gains popularity to estimate volatilities of asset returns based on high-frequency data in financial economics. However there is always a debate on when and how do we gain from using high-frequency data in portfolio optimization. This paper starts with a review on portfolio allocation and high-frequency financial time series. Then we introduce a new methodology to carry out efficient asset allocations using regularization on estimated integrated volatility via intra-day high-frequency data. We illustrate the methodology by comparing the results of both low-frequency and high-frequency price data on stocks traded in New York Stock Exchange over a period of 209 days in 2010. The numerical results show that portfolios constructed using high-frequency approach generally perform well by pooling together the strengths of regularization and estimation from a risk management perspective." @default.
- W98984190 created "2016-06-24" @default.
- W98984190 creator A5008169135 @default.
- W98984190 creator A5025574128 @default.
- W98984190 date "2013-01-01" @default.
- W98984190 modified "2023-09-23" @default.
- W98984190 title "On Portfolio Allocation: A Comparison of Using Low-Frequency and High-Frequency Financial Data" @default.
- W98984190 cites W1966999234 @default.
- W98984190 cites W2000204058 @default.
- W98984190 cites W2011355601 @default.
- W98984190 cites W2035298767 @default.
- W98984190 cites W2073583519 @default.
- W98984190 cites W2094859553 @default.
- W98984190 cites W2128569377 @default.
- W98984190 cites W2140585983 @default.
- W98984190 cites W2155804346 @default.
- W98984190 cites W3095114851 @default.
- W98984190 cites W3121324299 @default.
- W98984190 cites W3121487129 @default.
- W98984190 cites W3125412410 @default.
- W98984190 cites W4241584625 @default.
- W98984190 doi "https://doi.org/10.1007/978-1-4614-7846-1_2" @default.
- W98984190 hasPublicationYear "2013" @default.
- W98984190 type Work @default.
- W98984190 sameAs 98984190 @default.
- W98984190 citedByCount "0" @default.
- W98984190 crossrefType "book-chapter" @default.
- W98984190 hasAuthorship W98984190A5008169135 @default.
- W98984190 hasAuthorship W98984190A5025574128 @default.
- W98984190 hasConcept C10138342 @default.
- W98984190 hasConcept C144133560 @default.
- W98984190 hasConcept C2780821815 @default.
- W98984190 hasConcept C41008148 @default.
- W98984190 hasConceptScore W98984190C10138342 @default.
- W98984190 hasConceptScore W98984190C144133560 @default.
- W98984190 hasConceptScore W98984190C2780821815 @default.
- W98984190 hasConceptScore W98984190C41008148 @default.
- W98984190 hasLocation W989841901 @default.
- W98984190 hasOpenAccess W98984190 @default.
- W98984190 hasPrimaryLocation W989841901 @default.
- W98984190 hasRelatedWork W1652691946 @default.
- W98984190 hasRelatedWork W2022018830 @default.
- W98984190 hasRelatedWork W2034565407 @default.
- W98984190 hasRelatedWork W2387212527 @default.
- W98984190 hasRelatedWork W2388363490 @default.
- W98984190 hasRelatedWork W2807316624 @default.
- W98984190 hasRelatedWork W2913185696 @default.
- W98984190 hasRelatedWork W3121247141 @default.
- W98984190 hasRelatedWork W3154452818 @default.
- W98984190 hasRelatedWork W2187559042 @default.
- W98984190 isParatext "false" @default.
- W98984190 isRetracted "false" @default.
- W98984190 magId "98984190" @default.
- W98984190 workType "book-chapter" @default.