Selection of minimum variance portfolio using intraday data : an empirical comparison among different realized measures for BM&FBovespa data
Bruna K. Borges, João F. Caldeira, Flavio A. Ziegelmann
| Year of publication: |
may 2015
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|---|---|
| Authors: | Borges, Bruna K. ; Caldeira, João F. ; Ziegelmann, Flávio A. |
| Published in: |
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 2526-3722, ZDB-ID 2392364-7. - Vol. 35.2015, 1, p. 23-46
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| Subject: | High frequency data | Realized measures | Portfolio optimization | Realized volatility | Performance assessment | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Schätzung | Estimation | Messung | Measurement | Varianzanalyse | Analysis of variance | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.12660/bre.v35n12015.21453 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011538801