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Predicting the daily covariance matrix for S&P 100 stocks using intraday data : but which frequency to use?

Pooter, Michiel de; Martens, Martin; Dijk, Dick van - 2006

of determining the optimal sampling frequency, which strikes a balance between variance and bias in covariance matrix … estimates due to market microstructure effects such as non-synchronous trading and bid-ask bounce. The optimal sampling …

Persistent link: https://www.econbiz.de/10011346450

Sampling methods for investment portfolio formulation procedure at increased market volatility

Dzicher, Mateusz - In: Journal of economics & management 43 (2021) 1, pp. 70-89

’s approach with the use of sampling methods is developed in order to improve the allocation efficiency for a portfolio of … theory. Research implications/limitations - The research emphasized that in order to get a more diversified investment … occasions be statistically biased. Thus it was proved that sampling methods allow to obtain a less concentrated and volatile …

Persistent link: https://www.econbiz.de/10013166371

Growing wealth with fixed-mix strategies

Dempster, Michael A. H.; Evstigneev, Igor V.; … - 2009

This chapter surveys theoretical research on the long-term performance of fixed-mix investment strategies. These self-financing strategies rebalance the portfolio over time so as to keep constant the proportions of wealth invested in various assets. The main result is that wealth can be grown...

Persistent link: https://www.econbiz.de/10003971114

Financial markets equilibrium with heterogeneous agents

Cvitanić, Jakša; Jouini, Elyès; Malamud, Semyon; … - 2009

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...

Persistent link: https://www.econbiz.de/10003971310

Price impact and portfolio impact

Cvitanić, Jakša; Malamud, Semyon - 2010

We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is equivalent to survival under an agent-specific, wealth-forward...

Persistent link: https://www.econbiz.de/10003979998

Do high-frequency data improve high-dimensional portfolio allocations?

Hautsch, Nikolaus; Kyj, Lada. M.; Malec, Peter - 2013 - First version: September 2011, This version: February 2013

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents of the S&P 500 over a four-year period covering the 2008 financial...

Persistent link: https://www.econbiz.de/10009714536

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

Continuous and jump betas : implications for portfolio diversification

Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...

Persistent link: https://www.econbiz.de/10011506397

Time-varying combinations of Bayesian dynamic models and equity momentum strategies

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

A novel dynamic asset-allocation approach is proposed where portfolios as well as portfolio strategies are updated at every decision period based on their past performance. For modeling, a general class of models is specified that combines a dynamic factor and a vector autoregressive model and...

Persistent link: https://www.econbiz.de/10011563065

Conditional Dependency of Financial Series : An Application of Copulas

Rockinger, Michael - 2010

We develop a new methodology that measures conditional dependency. We achieve this by using copula functions that link marginal distributions, here chosen to obey a GARCH-type model with time-varying skewness and kurtosis. We apply this model to daily returns of stock-market indices. We find...

Persistent link: https://www.econbiz.de/10013134882

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