Large portfolio allocation using high-frequency financial data

DOI10.4310/SII.2018.V11.N1.A12MaRDI QIDQ1782099zbMATH OpenOpenAlexFDO

Authors Jian Zou, Fangfang Wang, Yichao Wu

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

regularizationrisk managementhigh-frequency dataportfolio allocationvolatility matrix estimation

Mathematics Subject Classification ID

Statistics (62-XX)

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• Large scale portfolio selection with synergies

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