Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
用标普500成分股数据构建最小方差组合，发现基于高频数据的协方差预测能显著降低组合波动率，尤其在2008年金融危机期间表现更优，为风险厌恶投资者带来实质效用提升。
This paper addresses the debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We construct global minimum variance portfolios based on the constituents of the S&P 500. HF-based covariance matrix predictions are obtained by applying a blocked realized kernel estimator, different smoothing windows, various regularization methods and two forecasting models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily returns. Particularly during the 2008 financial crisis, these performance gains hold over longer horizons than previous studies have shown, translating into substantial utility gains for an investor with pronounced risk aversion. Copyright © 2013 John Wiley & Sons, Ltd.