跳到正文
← 返回论文列表与筛选
阅读说明

本页整理公开书目信息,不生成学术质量评分。AI 解读根据题名及所注明的摘要或原文片段生成,未完成全文核验,可能有误;具体假设、证明与结论请核对原文。摘要保留来源文本,未经模型改写。

DOI 首次登记不等于接收或发表日期。部分更正、评论等条目没有独立摘要;缺少可靠材料时保留待补状态。

本页为预印本版本;arXiv 收录、作者填写的期刊信息以及作者既有发表经历,都不单独证明本篇已接收。作者发表记录按 OpenAlex 身份与完整姓名、本站覆盖期刊 ISSN 及正式卷期核对,只展示已核实例,档案仍可能误合并。

引用量采用 OpenAlex 单条关联记录,不合计多个记录;关联记录可能包含正式发表版本,不等于此版本单独引用。缺失不视为零,引用指标不代表论文质量。

关注作者按书目中的完整姓名匹配,同名和姓名变体需人工辨别。相关论文先按共享细分方向和具体方法排列,再参考通用方法与发表日期。

分类依据与纠错

AI 根据所提供的论文材料归类:摘要直接研究高频金融数据下的大规模波动率与协方差矩阵估计。

反馈分类问题

正在核对关联版本…

代码、数据与补充材料

正在核对对应版本的资源…

关注这篇论文的作者
Jianqing Fan
Yingying Li
Ke Yu

用于组合选择的高频大规模波动率矩阵估计

研究问题
在大量资产和总敞口约束下,如何使用高频数据估计局部协方差矩阵,并评估不同同步采样方法对组合选择的影响?
方法与思路
作者比较逐对刷新时间与全体刷新时间的矩阵估计,建立集中不等式,并以模拟和股票数据评估组合选择表现。
材料陈述的贡献
摘要称理论结果支持总敞口约束下的资产配置,并报告高频方法在模拟和实证中较日频方法更能捕捉近期波动与相关性。
阅读关注点
应核对非同步交易与观测噪声的处理、估计矩阵的可用性,以及集中界如何传递为组合误差和比较设计是否公平。
阅读边界
这是 arXiv 预印本,同行评审及期刊接收未核实;摘要未给出误差条件或数值改善幅度,应用结论限于所述样本与设计。

原文摘要

Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (2008). The required high-dimensional volatility matrix can be estimated by using high frequency financial data. This enables us to better adapt to the local volatilities and local correlations among vast number of assets and to increase significantly the sample size for estimating the volatility matrix. This paper studies the volatility matrix estimation using high-dimensional high-frequency data from the perspective of portfolio selection. Specifically, we propose the use of "pairwise-refresh time" and "all-refresh time" methods proposed by Barndorff-Nielsen et al (2008) for estimation of vast covariance matrix and compare their merits in the portfolio selection. We also establish the concentration inequalities of the estimates, which guarantee desirable properties of the estimated volatility matrix in vast asset allocation with gross exposure constraints. Extensive numerical studies are made via carefully designed simulations. Comparing with the methods based on low frequency daily data, our methods can capture the most recent trend of the time varying volatility and correlation, hence provide more accurate guidance for the portfolio allocation in the next time period. The advantage of using high-frequency data is significant in our simulation and empirical studies, which consist of 50 simulated assets and 30 constituent stocks of Dow Jones Industrial Average index.

笔记与分组