We analyze the economic benefits of several covariance estimation approaches on a tactical asset-allocation problem in the presence of high-frequency return data. Our analysis confirms that the use of robust-to-noise and asynchronicity estimators not only gives statistically more accurate results, but the statistical efficiency is reflected into a financial benefit in most cases.

On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?

Mancino, Maria Elvira
2021

Abstract

We analyze the economic benefits of several covariance estimation approaches on a tactical asset-allocation problem in the presence of high-frequency return data. Our analysis confirms that the use of robust-to-noise and asynchronicity estimators not only gives statistically more accurate results, but the statistical efficiency is reflected into a financial benefit in most cases.
2021
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
non-parametric estimation; portfolio performance
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11384/79766
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