On Asset-Allocation and High-Frequency Data : Are There Financial Gains From Using Different Covariance Estimators?

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

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Year of publication:	2020
Authors:	Allaj, Erindi
Other Persons:	Mancino, Maria Elvira (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Korrelation \| Correlation \| Schätztheorie \| Estimation theory \| Kapitaleinkommen \| Capital income \| Zeitreihenanalyse \| Time series analysis

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Extent:	1 Online-Ressource (36 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Communications in Statistics-Simulation and Computation, forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 6, 2018 erstellt
Other identifiers:	10.2139/ssrn.3191794 [DOI]
Classification:	C1 - Econometric and Statistical Methods: General ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

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