Asset selection based on high frequency Sharpe ratio
From MaRDI portal
Publication:2116331
DOI10.1016/J.JECONOM.2020.05.007OpenAlexW3083691518MaRDI QIDQ2116331FDOQ2116331
Authors: Christina Dan Wang, Zhao Chen, Yimin Lian, Min 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
serial correlationsure screening propertyasset selectionhigh frequency Sharpe ratioultrahigh dimensional
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
- Sure independence screening in generalized linear models with NP-dimensionality
- Model-free feature screening for ultrahigh-dimensional data
- The Adaptive Lasso and Its Oracle Properties
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Title not available (Why is that?)
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- Sure Independence Screening for Ultrahigh Dimensional Feature Space
- Feature screening via distance correlation learning
- Regularization and Variable Selection Via the Elastic Net
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- Vast portfolio selection with gross-exposure constraints
- Feature Selection for Varying Coefficient Models With Ultrahigh-Dimensional Covariates
- Quantile-adaptive model-free variable screening for high-dimensional heterogeneous data
- Nonparametric independence screening in sparse ultra-high-dimensional additive models
- On varying-coefficient independence screening for high-dimensional varying-coefficient models
- Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models
- Estimation with quadratic loss.
- A Bernstein type inequality and moderate deviations for weakly dependent sequences
- Ultrahigh dimensional feature selection: beyond the linear model
- Sparse and stable Markowitz portfolios
- Estimation for Markowitz Efficient Portfolios
- The econometrics of high-frequency data
- Mean-variance portfolio optimization when means and covariances are unknown
- Constructing optimal sparse portfolios using regularization methods
- Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond
- Sure explained variability and independence screening
This page was built for publication: Asset selection based on high frequency Sharpe ratio
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2116331)
