The Divergence of High- and Low-Frequency Estimation: Causes and Consequences
研究发现，基于高频收益估计的波动率和相关性，与低频估计存在显著差异，导致按高频数据优化的投资组合对长期投资者效果不佳。作者分析了原因并提出了兼顾长短期的组合构建框架。
Financial analysts typically estimate volatilities and correlations from monthly or higher-frequency returns when determining the optimal composition of a portfolio. Although it is widely acknowledged that these measures are not necessarily stationary across samples, most analysts assume implicitly that, within sample, volatilities scale with the square root of time and correlations estimated from high-frequency returns are similar to correlations estimated from low-frequency returns. Evidence does not support this view. Instead, evidence shows that relative asset values often evolve through time in ways that are highly inconsistent with their high-frequency volatilities and correlations. As a consequence, portfolios that are optimal based on high-frequency returns often lead to significantly suboptimal results for investors with long horizons. The causes and consequences of this discrepancy are analyzed by the article’s authors, as well as presenting a framework for constructing portfolios that balance short-horizon and long-horizon optimality. <b>TOPICS:</b>Volatility measures, exchanges/markets/clearinghouses, statistical methods