Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et. al. (2008b). The required high-dimensional volatility matrix can be estimated by using high frequency financial data. This enables us to better …