Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
Work
Year: 2012
Type: article
Abstract: 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 by Fan, Zhang, ... more
Authors Jianqing Fan, Yingying Li, Ke Yu
Institutions Princeton University, University of Hong Kong, Hong Kong University of Science and Technology
Cites: 44
Cited by: 147
Related to: 10
FWCI: 11.65
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Open Access status: green