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.
On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? / Erindi Allaj; Maria Elvira Mancino. - In: COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION. - ISSN 1532-4141. - STAMPA. - --:(2019), pp. 1-30. [10.1080/03610918.2019.1643882]
On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
ALLAJ, ERINDI
;Maria Elvira Mancino
2019
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.
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