On the gains of using high frequency data and higher moments in Portfolio Selection

Rui Brito (), Helder Sebastião and Pedro Godinho ()

No 2017-02, CeBER Working Papers from Centre for Business and Economics Research (CeBER), University of Coimbra

Abstract: In this paper we conduct an empirical analysis on the performance gains of using high frequency data in Portfolio Selection. Within a CRRA-utility maximization framework, we suggest the construction of two different portfolios: a low and a high frequency portfolio. For ten different risk aversion levels, we compare the performance of both portfolios in terms of several out-of-sample measures. Using data on fourteen stocks of the CAC 40 stock market index, from January 1999 to December 2003, we conclude that the “fight” is always “won” by the high frequency portfolio for all the considered performance evaluation measures.

Keywords: portfolio selection; utility maximization criteria; higher moments; high frequency data; out-of-sample analysis. (search for similar items in EconPapers)
JEL-codes: C44 C55 C58 C61 C63 C88 G11 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2017-02
New Economics Papers: this item is included in nep-mst and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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