High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data

Tommaso Cai, Jianchang Hu, Yingying Li, Xinghua Zheng

Type: Article

Publication Date: 2018-01-01

Citations: 2

DOI: https://doi.org/10.2139/ssrn.3105815

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+	Microstructure noise in the continuous case: The pre-averaging approach	2008	Jean Jacod Yingying Li Per A. Mykland Mark Podolskij Mathias Vetter
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+	Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise	2008	Ole E. Barndorff‐Nielsen Peter Reinhard Hansen Asger Lunde Neil Shephard
+ PDF Chat	Covariate-adjusted precision matrix estimation with an application in genetical genomics	2012	Tommaso Cai Huilin Li Weidong Liu Jin Xie
+	Sparse PCA-based on high-dimensional Itô processes with measurement errors	2016	Donggyu Kim Yazhen Wang
+ PDF Chat	On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations	2018	Ningning Xia Xinghua Zheng
+	On the estimation of integrated covariance matrices of high dimensional diffusion processes	2011	Xinghua Zheng Yingying Li
+	Aspects of Multivariate Statistical Theory	1982	Robb J. Muirhead