On Asset-Allocation and High-Frequency Data : Are There Financial Gains From Using Different Covariance Estimators?

We analyze the economic benefits of several covariance estimation approaches on a tactical asset-allocation problem in the presence of high-frequency return data. Our analysis confirms that the use of robust-to-noise and asynchronicity estimators not only gives statistically more accurate results, but the statistical efficiency is reflected into a financial benefit in most cases

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Year of publication:	2020
Authors:	Allaj, Erindi
Other Persons:	Mancino, Maria Elvira (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Korrelation \| Correlation \| Schätztheorie \| Estimation theory \| Kapitaleinkommen \| Capital income \| Zeitreihenanalyse \| Time series analysis

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