Asset selection based on high frequency Sharpe ratio

DOI10.1016/J.JECONOM.2020.05.007MaRDI QIDQ2116331zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

serial correlationsure screening propertyasset selectionhigh frequency Sharpe ratioultrahigh dimensional

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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