Asset selection based on high frequency Sharpe ratio
Christina Dan Wang, Zhao Chen, Yimin Lian, Min Chen
| Year of publication: |
2022
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|---|---|
| Authors: | Wang, Christina Dan ; Chen, Zhao ; Lian, Yimin ; Chen, Min |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 227.2022, 1, p. 168-188
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| Subject: | Asset selection | High frequency Sharpe ratio | Serial correlation | Sure screening property | Ultrahigh dimensional | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.05.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013441645