Pooter, Michiel de; Martens, Martin; Dijk, Dick van - In: Econometric Reviews 27 (2008) 1-3, pp. 199-229
This article investigates the merits of high-frequency intraday data when forming mean-variance efficient stock portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue of determining the optimal sampling frequency as judged by the...