Jianchang Hu

University of Wisconsin - Madison - Department of Statistics

United States

SCHOLARLY PAPERS

1

DOWNLOADS

169

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

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

Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 01 Feb 2018 Last Revised: 03 Jun 2019
Tony Cai, Jianchang Hu, Yingying Li and Xinghua Zheng
University of Pennsylvania - Statistics Department, University of Wisconsin - Madison - Department of Statistics, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 169 (176,961)

Abstract:

Loading...

Minimum variance portfolio, High dimension, High frequency, CLIME estimator, Precision matrix