A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data

DOI10.1007/S11749-013-0337-3zbMATH Open1367.62284OpenAlexW2054712080MaRDI QIDQ384764FDOQ384764

Authors: Xin-Bing Kong 

Publication date: 28 November 2013

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-013-0337-3

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+process&go=Go It�� process]gross-exposure constraintvast portfolio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• High dimensional covariance matrix estimation using a factor model
• A well-conditioned estimator for large-dimensional covariance matrices
• Vast portfolio selection with gross-exposure constraints
• Microstructure noise in the continuous case: the pre-averaging approach
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
• A Tale of Two Time Scales
• Estimating covariation: Epps effect, microstructure noise
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• Vast volatility matrix estimation for high-frequency financial data
• Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection

Cited In (4)

• Vast portfolio selection with gross-exposure constraints
• Equity portfolio diversification with high frequency data
• Jump activity estimation for pure-jump semimartingales via self-normalized statistics
• Statistical methods for large portfolio risk management

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