Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection.

@article{Fan2012VastVM,
  title={Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection.},
  author={Jianqing Fan and Yingying Li and Ke Yu},
  journal={Journal of the American Statistical Association},
  year={2012},
  volume={107 497},
  pages={412-428}
}
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of portfolios selection among a vast pool of assets, as demonstrated in Fan et al. (2011). The required high-dimensional volatility matrix can be estimated by using high frequency financial data. This enables us to better adapt to the local volatilities and local correlations among vast number of assets and to increase significantly the sample size for estimating the volatility… CONTINUE READING
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