Realised higher moments: theory and practice

被引：9

作者：

Buckle, Mike ^{[1
]}

Chen, Jing ^{[1
]}

Williams, Julian M. ^{[2
]}

机构：

[1] Swansea Univ, Sch Management, Swansea SA2 8PP, W Glam, Wales

[2] Univ Durham, Sch Business, Mill Hill Lane, Durham DH1 3LB, England

来源：

EUROPEAN JOURNAL OF FINANCE | 2016年 / 22卷 / 13期

关键词：

higher moments; asset allocation; portfolio management; co-movement; G14; G15; G17; PORTFOLIO SELECTION; VOLATILITY; SKEWNESS; KURTOSIS; KERNELS; COMOVEMENTS; PREFERENCES; ALLOCATION; INTRADAY; RETURNS;

D O I：

10.1080/1351847X.2014.885456

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines the incorporation of higher moments in portfolio selection problems utilising high-frequency data. Our approach combines innovations from the realised volatility literature with a portfolio selection methodology utilising higher moments. We provide an empirical study of the measurement of higher moments from tick by tick data and implement the model for a selection of stocks from the DOW 30 over the time period 2005-2011. We demonstrate a novel estimator for moments and co-moments in the presence of microstructure noise.

引用

页码：1272 / 1291

页数：20

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