On portfolio optimization: How and when do we benefit from high‐frequency data?
投资组合优化：何时以及如何受益于高频数据？
Abstract We examine how the use of high‐frequency data impacts the portfolio optimization decision. Prior research has documented that an estimate of realized volatility is more precise when based upon intraday returns rather than daily returns. Using the framework of a professional investment manager who wishes to track the S&P 500 with the 30 Dow Jones Industrial Average stocks, we find that the benefits of using high‐frequency data depend upon the rebalancing frequency…