On portfolio optimization: How and when do we benefit from high‐frequency data?
研究高频数据如何影响投资组合优化，发现其收益取决于再平衡频率和估计窗口长度：月度再平衡且有12个月以上数据时，日数据表现相当；但日度再平衡或窗口短于6个月时，高频数据显著改善优化效果。
Abstract We examine how the use of high‐frequency data impacts the portfolio optimization decision. Prior research has documented that an estimate of realized volatility is more precise when based upon intraday returns rather than daily returns. Using the framework of a professional investment manager who wishes to track the S&P 500 with the 30 Dow Jones Industrial Average stocks, we find that the benefits of using high‐frequency data depend upon the rebalancing frequency and estimation horizon. If the portfolio is rebalanced monthly and the manager has access to at least the previous 12 months of data, daily data have the potential to perform as well as high‐frequency data. However, substantial improvements in the portfolio optimization decision from high‐frequency data are realized if the manager rebalances daily or has less than a 6‐month estimation window. These findings are robust to transaction costs. Copyright © 2009 John Wiley & Sons, Ltd.