Portfolio choice with high frequency data: CRRA preferences and the liquidity effect
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DOI: 10.1007/s10258-017-0131-3
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- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016. "Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect," GEMF Working Papers 2016-13, GEMF, Faculty of Economics, University of Coimbra.
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Cited by:
- Rui Pedro Brito & Helder Sebastião & Pedro Godinho, 2018.
"On the Gains of Using High Frequency Data in Portfolio Selection,"
Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 65(4), pages 365-383, December.
- Brito Rui Pedro & Sebastião Helder & Godinho Pedro, 2018. "On the Gains of Using High Frequency Data in Portfolio Selection," Scientific Annals of Economics and Business, Sciendo, vol. 65(4), pages 365-383, December.
- Zia-ur-Rehman Rao & Muhammad Zubair Tauni & Tanveer Ahsan & Muhammad Umar, 2020.
"Do mutual funds have consistency in their performance?,"
Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 19(2), pages 139-153, May.
- Zia-Ur-Rehman Rao & Muhammad Zubair Tauni & Tanveer Ahsan & Muhammad Umar, 2020. "Do mutual funds have consistency in their performance?," Post-Print hal-02956333, HAL.
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More about this item
Keywords
Portfolio choice; High frequency data; Realized moments; Amihud illiquidity ratio; CRRA preferences;All these keywords.
JEL classification:
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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