Showing 1 - 3 of 3
For a financial portfolio, we suggest a realized measure of diversification benefits, which is based on intraday high-frequency returns. Our measure quantifies volatility reduction, which could be achieved by including an additional asset in the portfolio. In order to make our approach feasible...
Persistent link: https://www.econbiz.de/10012027057
Persistent link: https://www.econbiz.de/10001434627
Persistent link: https://www.econbiz.de/10013461907