Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection (Q4916473)
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scientific article; zbMATH DE number 6156532
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection |
scientific article; zbMATH DE number 6156532 |
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Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection (English)
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22 April 2013
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concentration inequalities
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high-frequency data
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portfolio allocation
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refresh time
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risk assessment
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volatility matrix estimation
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0.95308095
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0.9241092
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0.90700924
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0.9035524
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0.90340763
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0.90118355
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0.9011582
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0.89897335
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0.8973795
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