On Asset-Allocation and High-Frequency Data: Are There Financial Gains From Using Different Covariance Estimators?
Communications in Statistics-Simulation and Computation, forthcoming
36 Pages Posted: 21 Jun 2018 Last revised: 1 Jul 2020
Date Written: June 6, 2018
Abstract
We analyze the economic benefits of several covariance estimation approaches on a tactical asset-allocation problem in the presence of high-frequency return data. Our analysis confirms that the use of robust-to-noise and asynchronicity estimators not only gives statistically more accurate results, but the statistical efficiency is reflected into a financial benefit in most cases.
Keywords: Asset-Allocation, Non-Parametric Covariance Estimators, High-Frequency Data, Financial Performance Measures
JEL Classification: C1, G11
Suggested Citation: Suggested Citation