Using High-Frequency Data in Dynamic Portfolio Choice

Econometric Reviews ◽

10.1080/07474930701870461 ◽

2008 ◽

Vol 27 (1-3) ◽

pp. 163-198 ◽

Author(s):

Federico M. Bandi ◽

Jeffrey R. Russell ◽

Yinghua Zhu

Keyword(s):

Portfolio Choice ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Analysis of high-frequency data on information transmissio and optimal portfolio choice

10.6035/14102.2018.5 ◽

2018 ◽

Author(s):

Nuria Alemany Palomo

Keyword(s):

Portfolio Choice ◽

High Frequency ◽

Optimal Portfolio ◽

High Frequency Data ◽

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Portfolio choice with high frequency data: CRRA preferences and the liquidity effect

Portuguese Economic Journal ◽

10.1007/s10258-017-0131-3 ◽

2017 ◽

Vol 16 (2) ◽

pp. 65-86 ◽

Author(s):

R. P. Brito ◽

H. Sebastião ◽

P. Godinho

Keyword(s):

Portfolio Choice ◽

High Frequency ◽

High Frequency Data ◽

Liquidity Effect ◽

Frequency Data ◽

Crra Preferences

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Impact of the Introduction of Call Auction on Price Discovery: Evidence from the Indian Stock Market Using High-Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.2188542 ◽

2012 ◽

Author(s):

Sobhesh Kumar Agarwalla ◽

Joshy Jacob ◽

Ajay Pandey

Keyword(s):

Stock Market ◽

High Frequency ◽

Price Discovery ◽

High Frequency Data ◽

Frequency Data ◽

Call Auction ◽

Indian Stock Market

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Efficient Parallel Solution Methods for Dynamic Portfolio Choice Models in Discrete Time

SSRN Electronic Journal ◽

10.2139/ssrn.2665031 ◽

2015 ◽

Author(s):

Vanya Horneff ◽

Raimond Maurer ◽

Peter Schober

Keyword(s):

Portfolio Choice ◽

Discrete Time ◽

Choice Models ◽

Parallel Solution ◽

Solution Methods ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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The Liquidity Risk Premium Demanded by Large Investors: Dynamic Portfolio Choice with Stochastic Illiquidity

SSRN Electronic Journal ◽

10.2139/ssrn.2711718 ◽

2015 ◽

Author(s):

Joost Driessen ◽

Ran Xing

Keyword(s):

Portfolio Choice ◽

Risk Premium ◽

Liquidity Risk ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Dynamic Portfolio Choice: A Simulation Approach

SSRN Electronic Journal ◽

10.2139/ssrn.271188 ◽

2001 ◽

Author(s):

Michael W. Brandt ◽

Amit Goyal ◽

Pedro Santa-Clara

Keyword(s):

Portfolio Choice ◽

Simulation Approach ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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High Frequency Data in Finance: A Study of the Indian Equity Markets

SSRN Electronic Journal ◽

10.2139/ssrn.300343 ◽

2003 ◽

Author(s):

Susan Thomas

Keyword(s):

High Frequency ◽

Equity Markets ◽

High Frequency Data ◽

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Efficient Estimation of Volatility using High Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.306002 ◽

2002 ◽

Author(s):

Gilles O. Zumbach ◽

Fulvio Corsi ◽

Adrian Trapletti

Keyword(s):

High Frequency ◽

Efficient Estimation ◽

High Frequency Data ◽

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Forecasting Exchange Rate Realized Volatility Through Decomposition Using High-Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.3099650 ◽

2017 ◽

Author(s):

Rim mname Lamouchi ◽

Russell mname Davidson ◽

Ibrahim mname Fatnassi ◽

Abderazak Ben mname Maatoug

Keyword(s):

Exchange Rate ◽

High Frequency ◽

Realized Volatility ◽

High Frequency Data ◽

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Robust Dynamic Portfolio Choice Based on Out-Of-Sample Performance

SSRN Electronic Journal ◽

10.2139/ssrn.3434092 ◽

2019 ◽

Author(s):

Rainer Alexander Schüssler

Keyword(s):

Portfolio Choice ◽

Out Of Sample ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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