On the Gains of Using High Frequency Data in Portfolio Selection

On the Gains of Using High Frequency Data in Portfolio Selection

This paper analyzes empirically the performance gains of using high frequency data in portfolio selection. Assuming Constant Relative Risk Aversion (CRRA) preferences, with different relative risk aversion levels, we compare low and high frequency portfolios within mean-variance, mean-variance-skewn...

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Bibliographic Details
Main Authors: Brito Rui Pedro, Sebastião Helder, Godinho Pedro
Format: Article
Language:English
Published: Editura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing house 2018-12-01
Series:Scientific Annals of Economics and Business
Subjects:
Portfolio selection
utility maximization criteria
higher moments
high frequency data
C55
C61
G11
Online Access:http://www.degruyter.com/view/j/saeb.2018.65.issue-4/saeb-2018-0030/saeb-2018-0030.xml?format=INT

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