Pooter, Michiel de; Martens, Martin; Dijk, Dick van - 2006
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 of the S&P 100 index. We focus on the issue … of determining the optimal sampling frequency, which strikes a balance between variance and bias in covariance matrix …
