Pooter, Michiel de; Martens, Martin; Dijk, Dick van - Tinbergen Instituut - 2005
This discussion paper resulted in a publication in 'Econometric Reviews', 2008, 27, 199-229.<P> This paper investigates the merits of high-frequency intraday data when forming minimum variance portfolios and minimum tracking error portfolios with daily rebalancing from the individual constituents...</p>