Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data
This paper examines the usefulness of high frequency data in estimating the covariancematrix for portfolio choice when the portfolio size is large. A computationally convenientnonlinear shrinkage estimator for the integrated covariance (ICV) matrix of financial as-sets is developed in two steps. The...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2016
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1892 https://ink.library.smu.edu.sg/context/soe_research/article/2892/viewcontent/9983285.pdf |
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| Institution: | Singapore Management University |
| Language: | English |