On the gains of using high frequency data and higher moments in Portfolio Selection
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Cited by:
- Seema REHMAN & Saqib SHARIF & Wali ULLAH, 2021. "Higher Realized Moments and Stock Return Predictability," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 48-70, December.
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More about this item
Keywords
portfolio selection; utility maximization criteria; higher moments; high frequency data; out-of-sample analysis.;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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2017-02-26 (Market Microstructure)
- NEP-UPT-2017-02-26 (Utility Models and Prospect Theory)
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