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

See all articles by Erindi Allaj

Erindi Allaj

Parma University, Department of Economics and Management

Maria Elvira Mancino

University of Florence - Department of Economics and Management

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

Allaj, Erindi and Mancino, Maria Elvira, On Asset-Allocation and High-Frequency Data: Are There Financial Gains From Using Different Covariance Estimators? (June 6, 2018). Communications in Statistics-Simulation and Computation, forthcoming, Available at SSRN: https://ssrn.com/abstract=3191794 or http://dx.doi.org/10.2139/ssrn.3191794

Erindi Allaj (Contact Author)

Parma University, Department of Economics and Management ( email )

Via J.F. Kennedy, 6
Parma, 43125
Italy

Maria Elvira Mancino

University of Florence - Department of Economics and Management ( email )

Via delle Pandette, 32
Florence, Firenze 50127
Italy

HOME PAGE: http://www.unifi.it

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