We analyze the economic benefits of several covariance estimation approaches on a tactical asset-allocation problem in the presence of high-frequency return data. Our analysis confirms that the use of robust-to-noise and asynchronicity estimators not only gives statistically more accurate results, but the statistical efficiency is reflected into a financial benefit in most cases.
On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? / Allaj, Erindi; Maria Elvira, Mancino. - In: COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION. - ISSN 1532-4141. - --(2019), pp. 1-30. [10.1080/03610918.2019.1643882]
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