Konferenzbeitrag
Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information
We propose a Bayesian sequential learning framework for high-dimensional asset al-locations under model ambiguity and parameter uncertainty. The model is estimated via MCMC methods and allows for a wide range of data sources as inputs. Employing the proposed framework on a large set of NASDAQ-listed stocks, we observe that time-varying mixtures of high- and low-frequency based return predictions significantly improve the out-of-sample portfolio performance.
- Sprache
-
Englisch
- Erschienen in
-
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Financial Econometrics I ; No. F14-V3
- Klassifikation
-
Wirtschaft
Model Evaluation, Validation, and Selection
Bayesian Analysis: General
Financial Econometrics
Portfolio Choice; Investment Decisions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hautsch, Nikolaus
Voigt, Stefan
- Ereignis
-
Veröffentlichung
- (wer)
-
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
- (wo)
-
Kiel, Hamburg
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Konferenzbeitrag
Beteiligte
- Hautsch, Nikolaus
- Voigt, Stefan
- ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
Entstanden
- 2017
Ähnliche Objekte (12)
Large-scale portfolio allocation under transaction costs and model uncertainty
Limits to arbitrage in markets with stochastic settlement latency
Diplomakte Stefan Voigt
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities
Testing multiplicative error models using conditional moment tests
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions
Modelling Intraday Trading Activity Using Box-Cox-ACD Models
Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Determinant of Social Norms
How to measure the rule of law
The (economic) effects of lay participation in courts: a cross-country analysis
Large-scale portfolio allocation under transaction costs and model uncertainty
Limits to arbitrage in markets with stochastic settlement latency
Diplomakte Stefan Voigt
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities
Testing multiplicative error models using conditional moment tests
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions
Modelling Intraday Trading Activity Using Box-Cox-ACD Models
Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Determinant of Social Norms
How to measure the rule of law
The (economic) effects of lay participation in courts: a cross-country analysis
Large-scale portfolio allocation under transaction costs and model uncertainty
Limits to arbitrage in markets with stochastic settlement latency
Diplomakte Stefan Voigt
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities
Testing multiplicative error models using conditional moment tests
Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions
Modelling Intraday Trading Activity Using Box-Cox-ACD Models
Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Determinant of Social Norms
How to measure the rule of law