Estimation and Application of Minimum Variance Portfolio Risk Based
on High Dimensional and High Frequency Financial Data

doi:10.12341/jssms20403

Estimation and Application of Minimum Variance Portfolio Risk Based on High Dimensional and High Frequency Financial Data

LIU Liping, L¨U Zheng

Journal of Systems Science and Mathematical Sciences ›› 2021, Vol. 41 ›› Issue (10) : 2948-2964.

PDF(1196 KB)

Journal of Systems Science and Mathematical Sciences ›› 2021, Vol. 41 ›› Issue (10) : 2948-2964. DOI: 10.12341/jssms20403

Estimation and Application of Minimum Variance Portfolio Risk Based on High Dimensional and High Frequency Financial Data

{{article.zuoZhe_EN}}

Author information +

History +

HeighLight

Abstract

Key words

QR code of this article

Cite this article

EndNote

Ris (Procite)

Bibtex

Download Citations

{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2021, 41(10): 2948-2964 https://doi.org/10.12341/jssms20403

References

Publishing order | Descend order by publishing year | Descend order by cited within

References

Funding

RIGHTS & PERMISSIONS

PDF(1196 KB)

Accesses

Citation

Detail

Sections

Recommended

Please choose a citation manager

Content to export