In this paper we investigate exponential smoothing (ES) predictors for the weights of high-dimensional realized global minimum variance portfolios (GMVP) which only depend on the realized covariance matrix of risky financial assets. We compare direct ES predictions of realized GMVP proportions...

For a financial portfolio, we suggest a realized measure of diversification benefits, which is based on intraday high-frequency returns. Our measure quantifies volatility reduction, which could be achieved by including an additional asset in the portfolio. In order to make our approach feasible...