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Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
Minimum variance portfolio portfolio allocation risk assessment
2010/10/20
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 (20...
Nonlinear Stochastic Model of Return matching to the data of New York and Vilnius Stock Exchanges
Nonlinear Stochastic Model New York Vilnius Stock Exchanges
2010/10/19
We scale and analyze the empirical data of return from New York and Vilnius stock exchanges matching it to the same nonlinear double stochastic model of return in financial market.